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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.

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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).

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  • On automatic derivation of first order conditions in dynamic stochastic optimisation problems. (deposited 29 Apr 2014 23:46) [Currently Displayed]
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