To harness the full power of computer technology, economists need to use a broad range of mathematical techniques. In this book, Kenneth Judd presents techniques from the numerical analysis and applied mathematics literatures and shows how to use them in economic analyses. The book is divided into five parts. Part I provides a general introduction. Part II presents basics from numerical analysis on R^n, including linear equations, iterative methods, optimization, nonlinear equations, approximation methods, numerical integration and differentiation, and Monte Carlo methods. Part III covers methods for dynamic problems, including finite difference methods, projection methods, and numerical dynamic programming. Part IV covers perturbation and asymptotic solution methods. Finally, Part V covers applications to dynamic equilibrium analysis, including solution methods for perfect foresight models and rational expectation models.
This site was created as a resource to accompany the book.
Table of Contents:
- Introduction
- Elementary Aspects of Numerical Analysis
- Linear Equations
- Unconstrained Optimization
- Nonlinear Equations
- Constrained Optimization
- Nonlinear Complementarity Problems
- Classical Approximation Methods
- Modern Approximation Methods
- Numerical Quadrature
- Monte Carlo and quasi-Monte Carlo
- Finite Difference Methods
- Projection Methods
- Numerical Dynamic Programming
- Perturbation Methods in Euclidean Spaces
- Perturbations Methods in Function Spaces
- Asymptotic Methods
- Perfect Foresight Models
- Rational Expectations Models
- Dynamic Games
- Supergames
- Numerical Algebraic Geometry