nep-cmp New Economics Papers
on Computational Economics
Issue of 2009‒09‒05
three papers chosen by
Stan Miles
Thompson Rivers University

  1. InfSOCSol2 An updated MATLAB Package for Approximating the Solution to a Continuous-Time Infinite Horizon Stochastic Optimal Control Problem with Control and State Constraints By Azzato, Jeffrey D.; Krawczyk, Jacek B.
  2. A Newton Collocation Method for Solving Dynamic Bargaining Games By John Duggan; Tasos Kalandrakis
  3. Concording U.S. Harmonized System Categories Over Time By Justin Pierce; Peter Schott

  1. By: Azzato, Jeffrey D.; Krawczyk, Jacek B.
    Abstract: This paper is a successor of [AK08]. Both papers describe the same suite of MATLAB R° routines devised to provide an approximately optimal solution to an infinite horizon stochastic optimal control problem. The difference is that this paper explains how to allow for state and control constraints. The suite routines implement a policy improvement algorithm to optimise a Markov decision chain approximating the original control problem, as described in [Kra01c] and [Kra01b].
    Keywords: Computational economics; Financial engineering; Approximating Markov decision chains
    JEL: C63 C88 G23
    Date: 2009–08–31
  2. By: John Duggan (W. Allen Wallis Institute of Political Economy, 107 Harkness Hall, University of Rochester, Rochester, NY 14627-0158); Tasos Kalandrakis (W. Allen Wallis Institute of Political Economy, 107 Harkness Hall, University of Rochester, Rochester, NY 14627-0158)
    Abstract: We develop and implement a collocation method to solve for an equilibrium in the dynamic legislative bargaining game of Duggan and Kalandrakis (2008). We formulate the collocation equations in a quasi-discrete version of the model, and we show that the collocation equations are locally Lipchitz continuous and directionally differentiable. In numerical experiments, we successfully implement a globally convergent variant of Broyden's method on a preconditioned version of the collocation equations, and the method economizes on computation cost by more than 50% compared to the value iteration method. We rely on a continuity property of the equilibrium set to obtain increasingly precise approximations of solutions to the continuum model. We showcase these techniques with an illustration of the dynamic core convergence theorem of Duggan and Kalandrakis (2008) in a nine-player, two-dimensional model with negative quadratic preferences.
    Date: 2009–08
  3. By: Justin Pierce; Peter Schott
    Abstract: This paper: outlines an algorithm for concording U.S. ten-digit Harmonized System export and import codes over time; describes the concordances we construct for 1989 to 2004; and provides Stata code that can be used to construct similar concordances for arbitrary beginning and ending years from 1989 to 2007.
    JEL: F1
    Date: 2009–05

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