Solving SDGE Models: A New Algorithm for the Sylvester Equation
This paper presents a new numerical algorithm for solving the Sylvester equation involved in higher-order perturbation methods developed for solving stochastic dynamic general equilibrium models. The new algorithm surpasses other methods used so far (including the very popular doubling algorithm) in terms of computational time, memory consumption, and numerical stability.
|Date of creation:||Dec 2005|
|Date of revision:|
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