CompEcon additions
Additions to CompEcon not discussed in
Applied Computational Economics and Finance (ACEF)
Global Optimization
direct & genetic Two procedures for global optimization. One is an implementation of the Divided Rectangles (DiRect) algorithm of Jones et al. This implementation is written as a MEX file with a MATLAB interface and appears to be substantially faster than other DiRect implementations available on the web. The second is a genetic algorithm that was initially coded by Nick Kuminoff for a class he took with me and subsequently tweaked a bit by me to speed it up
Non-linear Rational Expectations Solver
resolve This new solver improves on the solver described in Section 9.9 of ACEF.
See: “A MATLAB Solver for Nonlinear Rational Expectations Models”, Computational Economics, 26 (2005): 173-181.
Additional documentation for resolve
Boundary Value Solver
bvpsolve A solver for boundary value problems