Numerical Methods in Economics

Kenneth L. Judd

8 Monte Carlo and Simulation Methods

8.1 Pseudorandom Number Generation

8.2 Monte Carlo Integration

8.3 Optimization by Stochastic Search

8.4 Stochastic Approximation

8.5 Standard Optimization Methods with Simulated Objectives

8.6 Further Reading and Summary

8.7 Exercises

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  • 1 Introduction
  • 2 Elementary Concepts
  • 3 Linear Equations and Iterative Methods
  • 4 Optimization
  • 5 Nonlinear Equation
  • 6 Approximation Methods
  • 7 Numerical Integration and Diļ¬€erentiation
  • 8 Monte Carlo and Simulation Methods
  • 9 Quasi-Monte Carlo Methods
  • 10 Finite-Diļ¬€erence Methods
  • 11 Projection Methods for Functional Equation
  • 12 Numerical Dynamic Programmin
  • 13 Regular Perturbations of Simple System
  • 14 Regular Perturbations in Multidimensional System
  • 15 Advanced Asymptotic Methods
  • 16 Solution Methods for Perfect Foresight Models
  • 17 Solving Rational Expectations Models

Resources by Chapter – 2nd Edition

  • 1 Introduction 2nd Edition

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