Automatic Differentiation and Interval Arithmetic for Estimation of Disequilibrium Models

  • Authors:
  • Max E. Jerrell

  • Affiliations:
  • Northern Arizona University, Flagstaff, AZ 86011-5066, U.S.A. e-mail: max.jerrell@nau.edu

  • Venue:
  • Computational Economics - Special issue on computational economics in Geneva: volume 1: computational econometrics, statistics, and optimization
  • Year:
  • 1997

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Abstract

Nonlinear estimation problems have a unknown number ofstationary points. Interval arithmetic is a promisingmethod that eliminates all but the global optimum.Automatic differentiation provides users with a convenientmethod of computing the gradient and Hessianof nonlinear functions. These two can be combined toprovide an efficient and convenient global optimizationprocess.