Feedback approximation of the stochastic growth model by genetic neural networks

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dc.citation.epage206en_US
dc.citation.issueNumber2-3en_US
dc.citation.spage185en_US
dc.citation.volumeNumber27en_US
dc.contributor.authorSirakaya, S.en_US
dc.contributor.authorTurnovsky, S.en_US
dc.contributor.authorAlemdar, M. N.en_US
dc.date.accessioned2016-02-08T10:19:23Z
dc.date.available2016-02-08T10:19:23Z
dc.date.issued2006en_US
dc.departmentDepartment of Economicsen_US
dc.description.abstractA direct numerical optimization method is developed to approximate the one-sector stochastic growth model. The feedback investment policy is parameterized as a neural network and trained by a genetic algorithm to maximize the utility functional over the space of time-invariant investment policies. To eliminate the dependence of training on the initial conditions, at any generation, the same stationary investment policy (the same network) is used to repeatedly solve the problem from differing initial conditions. The fitness of a given policy rule is then computed as the sum of payoffs over all initial conditions. The algorithm performs quite well under a wide set of parameters. Given the general purpose nature of the method, the flexibility of neural network parametrization and the global nature of the genetic algorithm search, it can be easily extended to tackle problems with higher dimensional nonlinearities, state spaces and/or discontinuities. © Springer Science+Business Media, Inc. 2006.en_US
dc.description.provenanceMade available in DSpace on 2016-02-08T10:19:23Z (GMT). No. of bitstreams: 1 bilkent-research-paper.pdf: 70227 bytes, checksum: 26e812c6f5156f83f0e77b261a471b5a (MD5) Previous issue date: 2006en
dc.identifier.doi10.1007/s10614-006-9024-8en_US
dc.identifier.eissn1572-9974
dc.identifier.issn0927-7099
dc.identifier.urihttp://hdl.handle.net/11693/23801
dc.language.isoEnglishen_US
dc.publisherSpringer New York LLCen_US
dc.relation.isversionofhttp://dx.doi.org/10.1007/s10614-006-9024-8en_US
dc.source.titleComputational Economicsen_US
dc.subjectGenetic algorithmsen_US
dc.subjectNeural networksen_US
dc.subjectStochastic growth modelen_US
dc.titleFeedback approximation of the stochastic growth model by genetic neural networksen_US
dc.typeArticleen_US

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