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Automatic differentiation and interval arithmetic for estimation of disequilibrium models. (English) Zbl 0892.90042

Summary: Nonlinear estimation problems have a unknown number of stationary points. Interval arithmetic is promising method that eliminates all but the global optimum. Automatic differentiation provides users with a convenient method of computing the gradient and Hessian of nonlinear functions. These two can be combined to provide an efficient and convenient global optimization process.

MSC:

91B82 Statistical methods; economic indices and measures

Software:

ACRITH-XSC; PCOMP; ADOL-C
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