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Global Optimization Using Interval Arithmetic

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  • Jerrell, Max E

Abstract

Interval arithmetic provides an efficient method of global optimization. With less efficiency all stationary points of a function can be found. A minimization method is described and applied to an econometric function. The results are compared with the method of simulated annealing on the same function. Citation Copyright 1994 by Kluwer Academic Publishers.

Suggested Citation

  • Jerrell, Max E, 1994. "Global Optimization Using Interval Arithmetic," Computational Economics, Springer;Society for Computational Economics, vol. 7(1), pages 55-62, February.
  • Handle: RePEc:kap:compec:v:7:y:1994:i:1:p:55-62
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    References listed on IDEAS

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    1. Nicola Bruti Liberati & Eckhard Platen, 2004. "On the Efficiency of Simplified Weak Taylor Schemes for Monte Carlo Simulation in Finance," Research Paper Series 114, Quantitative Finance Research Centre, University of Technology, Sydney.
    2. Kubilius Kestutis & Platen Eckhard, 2002. "Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps," Monte Carlo Methods and Applications, De Gruyter, pages 83-96.
    3. Long, John Jr., 1990. "The numeraire portfolio," Journal of Financial Economics, Elsevier, vol. 26(1), pages 29-69, July.
    4. Nicola Bruti-Liberati & Eckhard Platen, 2005. "On the Strong Approximation of Jump-Diffusion Processes," Research Paper Series 157, Quantitative Finance Research Centre, University of Technology, Sydney.
    5. Mark Craddock & David Heath & Eckhard Platen, 1999. "Numerical Inversion of Laplace Transforms: A Survey of Techniques with Applications to Derivative Pricing," Research Paper Series 27, Quantitative Finance Research Centre, University of Technology, Sydney.
    6. Merton, Robert C., 1976. "Option pricing when underlying stock returns are discontinuous," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 125-144.
    7. Guyon, Julien, 2006. "Euler scheme and tempered distributions," Stochastic Processes and their Applications, Elsevier, vol. 116(6), pages 877-904, June.
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    Cited by:

    1. Max E. Jerrell, "undated". "Automatic Differentiation and Interval Arithmetic for Estimation of Disequilibrium Models," Computing in Economics and Finance 1996 _028, Society for Computational Economics.

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