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Tranquilo: An Optimizer for the Method of Simulated Moments


  • Janoś Gabler
  • Sebastian Gsell
  • Tim Mensinger
  • Mariam Petrosyan


We propose the tranquilo algorithm, a trust-region optimizer that aims to facilitate optimization problems that arise during the method of simulated moments estimation (MSM). The algorithm is particularly suited for this type of problem as it (1) can utilize the least-squares structure of the MSM problem, (2) can be parallelized on the level of the algorithm, and (3) can adaptively deal with noise in the objective function. The adaptive nature of tranquilo makes it particularly suited for domain experts such as statisticians and social science researchers without extensive training in numerical optimization. Extensive benchmarks show that tranquilo is competitive with state-of-the-art algorithms in noise-free settings and outperforms them in the presence of substantial noise.

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  • Janoś Gabler & Sebastian Gsell & Tim Mensinger & Mariam Petrosyan, 2024. "Tranquilo: An Optimizer for the Method of Simulated Moments," CRC TR 224 Discussion Paper Series crctr224_2024_522, University of Bonn and University of Mannheim, Germany.
  • Handle: RePEc:bon:boncrc:crctr224_2024_522

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    derivative-free optimization; least-squares; trust region methods; stochastic optimization; mathematical software; method of simulated moments estimation;
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    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis

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