Use-case
Derivative-free optimization used in macro-economics
Among the domain of macroeconomics are a series of models called DSGE (Dynamic Stochastic General Equilibrium), that try to explain the effects of economic policies on economic growth. Such models are frequently used by Central Banks to predict global growth of a country.
Challenges
- Unspecified derivatives
- Higlhy nonlinear problem
Results
- 5 times faster computation
- Achieving the value of the objective function
We studied the Federal Reserve Bank of New York DSGE model implemented in MATLAB using the IRIS toolbox by Iskander Karibzhanov, Senior Scientist at Bank of Canada. This model is highly nonlinear, with no access to exact derivatives. In such cases, one cannot expect the solver to find a solution with as much precision as for a problem for which exact derivatives are provided.
The parallel finite-differencing feature of Artelys Knitro is used to speed up the computation. Using Knitro 11.1 out-of-the-box, the computation time is further decreased by a factor of 5 while achieving the same value of the objective function.
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