Computational Economics

, Volume 25, Issue 4, pp 343–379

Solving Finite Mixture Models: Efficient Computation in Economics Under Serial and Parallel Execution

Article

DOI: 10.1007/s10614-005-6413-3

Cite this article as:
Ferrall, C. Comput Econ (2005) 25: 343. doi:10.1007/s10614-005-6413-3

Abstract

Many economic models are completed by finding a parameter vector θ that optimizes a function f(θ), a task that can only be accomplished by iterating from a starting vector θ0. Use of a generic iterative optimizer to carry out this task can waste enormous amounts of computation when applied to a class of problems defined here as finite mixture models. The finite mixture class is large and important in economics and eliminating wasted computations requires only limited changes to standard code. Further, the approach described here greatly increases gains from parallel execution and opens possibilities for re-writing objective functions to make further efficiency gains.

Keywords

heterogeneous agent models numerical optimization 

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Copyright information

© Springer Science + Business Media, Inc. 2005

Authors and Affiliations

  1. 1.Department of Economics, Dunning HallQueen’s UniversityKingstonCanada

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