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Automatic Differentiation and Interval Arithmetic for Estimation of Disequilibrium Models

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Abstract

Nonlinear estimation problems have a unknown number of stationary points. Interval arithmetic is a promising method that eliminates all but the global optimum. Automatic differentiation provides users with a convenient method of computing the gradient and Hessian of nonlinear functions. These two can be combined to provide an efficient and convenient global optimization process.

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  1. Northern Arizona University, Flagstaff, AZ, 86011-5066, U.S.A.

    MAX E. JERRELL

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JERRELL, M.E. Automatic Differentiation and Interval Arithmetic for Estimation of Disequilibrium Models. Computational Economics 10, 295–316 (1997). https://doi.org/10.1023/A:1008633613243

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