Abstract
Nonlinear dynamic optimisation models are widely used in theoretical and empirical economic modelling, especially in the field of optimal growth and intertemporal macroeconomic modelling. In this chapter, we present a sequential quadratic programming algorithm for computing directly the steady state solution for a wide class of nonlinear dynamic optimisation problems in discrete time. The method is based on the method described in Amman and Neudecker [3] for solving the algebraic Riccati matrix equation.
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Amman, H.M., Kendrick, D.A. (2000). Matrix Methods for Solving Nonlinear Dynamic Optimisation Models. In: Heijmans, R.D.H., Pollock, D.S.G., Satorra, A. (eds) Innovations in Multivariate Statistical Analysis. Advanced Studies in Theoretical and Applied Econometrics, vol 36. Springer, Boston, MA. https://doi.org/10.1007/978-1-4615-4603-0_19
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DOI: https://doi.org/10.1007/978-1-4615-4603-0_19
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