Taking Perturbation to the Accuracy Frontier: A Hybrid of Local and Global Solutions

Abstract : Local perturbation) methods compute solutions in one point and tend to deliver far lower accuracy levels than global solution methods. We develop a hybrid method that solves for some policy functions locally (using a perturbation method) and that solves for the other policy functions globally (using closed-form expressions and a numerical solver). We applied our hybrid method to solve large-scale RBC models used in the comparison analysis of Kollmann et al. (J Econ Dyn Control 35:186-202, 2011b). We obtain more accurate solutions than those produced by any other (either local or global) solution method participating in that comparison. Our running time is a few seconds.
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Computational Economics, Springer Verlag, 2012, 〈10.1007/s10614-012-9342-y〉
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Soumis le : dimanche 14 avril 2013 - 23:06:15
Dernière modification le : mardi 24 avril 2018 - 17:20:14

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Lilia Maliar, Serguei Maliar, Sébastien Villemot. Taking Perturbation to the Accuracy Frontier: A Hybrid of Local and Global Solutions. Computational Economics, Springer Verlag, 2012, 〈10.1007/s10614-012-9342-y〉. 〈hal-00813057〉

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