Machine Learning for High-Dimensional Dynamic Stochastic Economies
暂无分享,去创建一个
[1] Wouter J. Den Haan,et al. Computational suite of models with heterogeneous agents: Multi-country real business cycle models , 2011 .
[2] Dimitri P. Bertsekas,et al. Dynamic Programming and Optimal Control, Two Volume Set , 1995 .
[3] K. Judd. Numerical methods in economics , 1998 .
[4] Albert Marcet,et al. Accuracy in Simulations , 1994 .
[5] Jorge Nocedal,et al. A Limited Memory Algorithm for Bound Constrained Optimization , 1995, SIAM J. Sci. Comput..
[6] Kevin P. Murphy,et al. Machine learning - a probabilistic perspective , 2012, Adaptive computation and machine learning series.
[7] Roman Garnett,et al. Active Learning of Linear Embeddings for Gaussian Processes , 2013, UAI.
[8] Gene H. Golub,et al. Matrix computations , 1983 .
[9] Albert Tarantola,et al. Inverse problem theory - and methods for model parameter estimation , 2004 .
[10] Deborah Lucas,et al. Asset pricing with undiversifiable income risk and short sales constraints: Deepening the equity premium puzzle , 1994 .
[11] N. Zabaras,et al. Solution of inverse problems with limited forward solver evaluations: a Bayesian perspective , 2013 .
[12] Paul Geladi,et al. Principal Component Analysis , 1987, Comprehensive Chemometrics.
[13] Ana Fernandes,et al. A Recursive Formulation for Repeated Agency with History Dependence , 2000, J. Econ. Theory.
[14] Qiqi Wang,et al. Erratum: Active Subspace Methods in Theory and Practice: Applications to Kriging Surfaces , 2013, SIAM J. Sci. Comput..
[15] Carl E. Rasmussen,et al. The Infinite Gaussian Mixture Model , 1999, NIPS.
[16] Benjamin A. Malin,et al. Solving the multi-country real business cycle model using a Smolyak-collocation method , 2011 .
[17] Dimitri P. Bertsekas,et al. Nonlinear Programming , 1997 .
[18] Chris I. Telmer. Asset-Pricing Puzzles and Incomplete Markets , 1993 .
[19] Christopher K. I. Williams,et al. Gaussian Processes for Machine Learning (Adaptive Computation and Machine Learning) , 2005 .
[20] Vincenzo Quadrini,et al. Capital Mobility and International Sharing of Cyclical Risk , 2012 .
[21] Lorenz T. Biegler,et al. On the implementation of an interior-point filter line-search algorithm for large-scale nonlinear programming , 2006, Math. Program..
[22] John Rust,et al. Dynamic Programming, Numerical , 2017 .
[23] Dirk Pflüger,et al. Spatially Adaptive Sparse Grids for High-Dimensional Problems , 2010 .
[24] Felix Kubler,et al. Computing equilibrium in OLG models with stochastic production , 2004 .
[25] Per Krusell,et al. Income and Wealth Heterogeneity in the Macroeconomy , 1998, Journal of Political Economy.
[26] Simon Scheidegger,et al. Scalable high-dimensional dynamic stochastic economic modeling , 2015, J. Comput. Sci..
[27] S. Scheidegger,et al. Using Adaptive Sparse Grids to Solve High-Dimensional Dynamic Models , 2017 .
[28] Kenneth I. Wolpin,et al. The Solution and Estimation of Discrete Choice Dynamic Programming Models by Simulation and Interpol , 1994 .
[29] R. Jagannathan,et al. Uninsured Idiosyncratic Risk and Aggregate Saving , 1994 .
[30] James J. Heckman,et al. The Empirical Foundations of Calibration , 1996 .
[31] Edwin T. Jaynes. Prior Probabilities , 2010, Encyclopedia of Machine Learning.
[32] Lilia Maliar,et al. Numerical Methods for Large-Scale Dynamic Economic Models , 2014 .
[33] Thomas Hintermaier,et al. Replication programs for paper "The method of endogenous gridpoints with occasionally binding constraints among endogenous variables" , 2010 .
[34] Lilia Maliar,et al. Merging Simulation and Projection Approaches to Solve High-Dimensional Problems , 2012 .
[35] Finn E. Kydland. On the econometrics of world business cycles , 1992 .
[36] Stefano Marelli,et al. Uncertainty Quantification and Global Sensitivity Analysis for Economic Models , 2017, Quantitative Economics.
[37] Thierry A. Mara,et al. Use of Global Sensitivity Analysis to Help Assess Unsaturated Soil Hydraulic Parameters , 2013 .
[38] Felix Kubler,et al. Rethinking large-scale Economic Modeling for Efficiency: Optimizations for GPU and Xeon Phi Clusters , 2018, 2018 IEEE International Parallel and Distributed Processing Symposium (IPDPS).
[39] Andriy Norets,et al. Estimation of Dynamic Discrete Choice Models Using Artificial Neural Network Approximations , 2012 .
[40] Nancy L. Stokey,et al. Recursive methods in economic dynamics , 1989 .
[41] E. Jaynes. Information Theory and Statistical Mechanics , 1957 .
[42] Zoubin Ghahramani,et al. Sparse Gaussian Processes using Pseudo-inputs , 2005, NIPS.
[43] E. Constantinescu,et al. Crop physiology calibration in the CLM , 2015 .
[44] Ralph C. Smith,et al. Uncertainty Quantification: Theory, Implementation, and Applications , 2013 .
[45] John Rust. Using Randomization to Break the Curse of Dimensionality , 1997 .
[46] Thomas S. Lontzek,et al. The Social Cost of Carbon with Economic and Climate Risks , 2015, Journal of Political Economy.
[47] Felix Kubler,et al. Pareto Improving Social Security Reform When Financial Markets are Incomplete? , 2003 .
[48] Lilia Maliar,et al. Smolyak Method for Solving Dynamic Economic Models: Lagrange Interpolation, Anisotropic Grid and Adaptive Domain , 2013 .
[49] Michel Juillard,et al. Multi-country real business cycle models: Accuracy tests and test bench , 2011 .
[50] Nicolas Le Roux,et al. The Curse of Highly Variable Functions for Local Kernel Machines , 2005, NIPS.
[51] Lawrence J. Christiano,et al. Algorithms for solving dynamic models with occasionally binding constraints , 1997 .
[52] Juan J. Alonso,et al. Active Subspaces for Shape Optimization , 2014 .
[53] Xiang Ma,et al. An adaptive hierarchical sparse grid collocation algorithm for the solution of stochastic differential equations , 2009, J. Comput. Phys..
[54] Paul G. Constantine,et al. Active Subspaces - Emerging Ideas for Dimension Reduction in Parameter Studies , 2015, SIAM spotlights.
[55] Nasser M. Nasrabadi,et al. Pattern Recognition and Machine Learning , 2006, Technometrics.
[56] T. Sargent,et al. Recursive Macroeconomic Theory , 2000 .
[57] Che-Lin Su,et al. Constrained Optimization Approaches to Estimation of Structural Models , 2011 .
[58] Harald Uhlig,et al. A Toolkit for Analysing Nonlinear Dynamic Stochastic Models Easily , 1995 .
[59] Simon Scheidegger,et al. Pricing American Options under High-Dimensional Models with Recursive Adaptive Sparse Expectations* , 2018, Journal of Financial Econometrics.
[60] John Rust. Optimal Replacement of GMC Bus Engines: An Empirical Model of Harold Zurcher , 1987 .
[61] Michael Grill,et al. Computing equilibria in dynamic models with occasionally binding constraints , 2010 .
[62] Ilias Bilionis,et al. Gaussian processes with built-in dimensionality reduction: Applications in high-dimensional uncertainty propagation , 2016, 1602.04550.
[63] Carl E. Rasmussen,et al. Gaussian process dynamic programming , 2009, Neurocomputing.
[64] Kenneth L. Judd,et al. Advances in Numerical Dynamic Programming and New Applications , 2014 .
[65] E. Jaynes. On the rationale of maximum-entropy methods , 1982, Proceedings of the IEEE.
[66] Frank Schorfheide,et al. Solution and Estimation Methods for DSGE Models , 2015 .
[67] Qiqi Wang,et al. Output Based Dimensionality Reduction of Geometric Variability in Compressor Blades , 2013 .
[68] J. Bernardo,et al. THE FORMAL DEFINITION OF REFERENCE PRIORS , 2009, 0904.0156.