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|Title:||The use of interval arithmetic in solving a non-linear rational expectation based multiperiod output-inflation process model: The case of the IN/GB method|
|Authors:||Stradi-Granados, Benito A.|
|Citation:||European Journal of Operational Research, 2010, 203 (1), pp. 222-229.|
|Abstract:||The use of interval mathematics to solve non-linear problems is an attractive alternative to traditional real-number techniques. It was demonstrated in a previous paper [Stradi, B., Haven, E., 2005. Optimal investment strategy via interval arithmetic. International Journal of Theoretical and Applied Finance 8(2), 185–205] that interval arithmetic in the form of the Interval-Newton Generalized Bisection (IN/GB) method is effective in solving highly non-linear problems. In this paper we solve a rational expectations models with the help of the IN/GB method. This method is capable of (i) rapidly eliminating no solution sections of the multidimensional space and (ii) concentrate computational efforts on those areas of multidimensional space where there may be a solution.|
|Description:||This paper was published as European Journal of Operational Research, 2010, 203 (1), pp. 222-229. It is available from http://www.sciencedirect.com/science/journal/03772217. Doi: 10.1016/j.ejor.2009.07.027|
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|Appears in Collections:||Published Articles, School of Management|
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