Parameterized Expectations Algorithm and the Moving Bounds
Bibliographic Data
| ID | 19420216 |
|---|---|
| Authors | LILIA MALIAR (0000-0002-7109-7976, University of Alicante), SERGUEI MALIAR (0000-0002-8008-7147, University of Alicante) |
| Year | 2003 |
| Volume | 21 |
| Issue | 1 |
| Pages | 88-92 |
| Publication date | 2003-01-01 |
| Peer Reviewed | Yes |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Business and Economic Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1198/073500102288618793 |
| OpenAlex | W2085366451 |
| Language | EN |
| Citations received | 1 |
| References cited | 5 |
The Parameterized Expectations Algorithm (PEA) is a powerful tool for solving nonlinear stochastic dynamic models. However, it has an important shortcoming: it is not a contraction mapping technique and thus does not guarantee a solution will be found. We suggest a simple modification that enhances the convergence property of the algorithm. The idea is to rule out the possibility of (ex)implosive behavior by artificially restricting the simulated series within certain bounds. As the solution is refined along the iterations, the bounds are gradually removed. The modified PEA can systematically converge to the stationary solution starting from the nonstochastic steady state
Algorithm · Mathematical optimization · Nonlinear system · Parameterized complexity · Advanced Thermodynamics and Statistical Mechanics · Complex Systems and Time Series Analysis · Computer Science · Economic theories and models · Mathematics · Applied Mathematics
| Unique citing works | 1 |
|---|---|
| Citations per year | 0,07 |
| Citation span | 2011 - 2011 (1) |
| Citation velocity | historical |
| Highly cited | No |
| Citation types | Neutral: 1 |