Euler Equation Iteration to solve an Optimization problem

Specific Domains Finance and Economics
21

Hi Albert,

I think your FPI solver should have

        Π1 .= Π1p
        Π2 .= Π2p

Otherwise, Π1 and Π2 just point to Π1p and Π2p and dist = 0 automatically. Long ago have I stopped counting the number of times this bug happened to me too.

2 Likes
22

Yes, basically. Where F is a vector of functions, X, and \gamma are vectors, and the solution X(\gamma) is a function.
There are many methods for doing this: projection/perturbation/etc…
One method is Euler Iteration, a fixed point method I’m trying to get to work here.