On automatic derivation of first order conditions in dynamic stochastic optimisation problems

Klima, Grzegorz and Retkiewicz-Wijtiwiak, Kaja (2014): On automatic derivation of first order conditions in dynamic stochastic optimisation problems.

Abstract

This note presents an algorithm for deriving first order conditions applicable to the most common optimisation problems encountered in dynamic stochastic models automatically. Given a symbolic library or a computer algebra system one can efficiently derive first order conditions which can then be used for solving models numerically (steady state, linearisation).

• Item Type: MPRA Paper
• Language: English
• Keywords: DSGE; stochastic optimisation; first order conditions; symbolic computations
• Subjects: C - Mathematical and Quantitative Methods > C6 - Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C61 - Optimization Techniques ; Programming Models ; Dynamic Analysis; C - Mathematical and Quantitative Methods > C6 - Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C63 - Computational Techniques ; Simulation Modeling; C - Mathematical and Quantitative Methods > C6 - Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C68 - Computable General Equilibrium Models

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