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**Numerical methods in economics.**
*(English)*
Zbl 0924.65001

Cambridge, MA: MIT Press. 633 p. (1998).

Publisher’s description: To harness the full power of computer technology, economists need to use a broad range of mathematical techniques. In this book, the author presents techniques from the numerical analysis and applied mathematics literature and shows how to use them in economic analyses.

The book is divided into five parts. Part I provides a general introduction. Part II presents basics from numerical analysis on \(\mathbb{R}^n\), including linear equations, iterative methods, optimization, nonlinear equations, approximation methods, numerical integration and differentiation, and Monte Carlo methods. Part III covers methods for dynamic problems, including finite difference methods, projection methods, and numerical dynamic programming. Part IV covers perturbation and asymptotic solution methods. Finally, Part V covers applications to dynamic equilibrium analysis, including solution methods for perfect foresight models and rational expectation models. A web site contains supplementary material including programs and answers to exercises.

The book is divided into five parts. Part I provides a general introduction. Part II presents basics from numerical analysis on \(\mathbb{R}^n\), including linear equations, iterative methods, optimization, nonlinear equations, approximation methods, numerical integration and differentiation, and Monte Carlo methods. Part III covers methods for dynamic problems, including finite difference methods, projection methods, and numerical dynamic programming. Part IV covers perturbation and asymptotic solution methods. Finally, Part V covers applications to dynamic equilibrium analysis, including solution methods for perfect foresight models and rational expectation models. A web site contains supplementary material including programs and answers to exercises.

### MSC:

65-01 | Introductory exposition (textbooks, tutorial papers, etc.) pertaining to numerical analysis |

65Fxx | Numerical linear algebra |

65Kxx | Numerical methods for mathematical programming, optimization and variational techniques |

65Hxx | Nonlinear algebraic or transcendental equations |

90-01 | Introductory exposition (textbooks, tutorial papers, etc.) pertaining to operations research and mathematical programming |

65Dxx | Numerical approximation and computational geometry (primarily algorithms) |