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Numerical optimization methods in economics


Schmedders, K (2008). Numerical optimization methods in economics. In: Durlauf, S N; Blume, L E. The new Palgrave dictionary of economics, Ed. 2. New York: Palgrave Macmillan, 4647-4666.

Abstract

Optimization problems are ubiquitous in economics. Many of these problems are sufficiently complex that they cannot be solved analytically. Instead economists need to resort to numerical methods. This article presents the most commonly used methods for both unconstrained and constrained optimization problems in economics; it emphasizes the solid theoretical foundation of these methods, illustrating them with examples. The presentation includes a summary of the most popular software packages for numerical optimization used in economics, and closes with a description of the rapidly developing area of mathematical programs with equilibrium constraints, an area that shows great promise for numerous economic applications.

Abstract

Optimization problems are ubiquitous in economics. Many of these problems are sufficiently complex that they cannot be solved analytically. Instead economists need to resort to numerical methods. This article presents the most commonly used methods for both unconstrained and constrained optimization problems in economics; it emphasizes the solid theoretical foundation of these methods, illustrating them with examples. The presentation includes a summary of the most popular software packages for numerical optimization used in economics, and closes with a description of the rapidly developing area of mathematical programs with equilibrium constraints, an area that shows great promise for numerous economic applications.

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Additional indexing

Item Type:Book Section, refereed, original work
Communities & Collections:03 Faculty of Economics > Department of Business Administration
Dewey Decimal Classification:330 Economics
Language:English
Date:2008
Deposited On:09 Feb 2009 13:11
Last Modified:06 Sep 2017 15:36
Publisher:Palgrave Macmillan
ISBN:978-0-333-78676-5
Publisher DOI:https://doi.org/10.1057/9780230226203.1209

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