AUTHORINDEX

Abreu, D., 17 Alpert, B.K., 151 Amari, S., 177 Arifovic, J., 5 Armstrong, J., 229, 231, 234 Arthur, B., 27,29,48 Ashby, S.F., 245 Atkinson, K.E., 208, 211 Aubin, J., 31, 32 Auscher, P., 144 Avriel, M., 108 Axelsson, 0., 246

Baldi, P., 28 Ball, 1., 66 Barnard, E., 167, 169, 186 Barnett, V., 153 Barron, A.R., 166 Barucci, E., 169 Bates, J.M., 185 Baum, E.B., 28, 169 Beaumont, P., 87, 91, 92 Becker, G., 52 Beguelin, A., 86 Belew, R., 95 Belsley, D.A., 78, 159 Bentz, Y., 172 Bera, A.K., 165 Berner, R., 230 Bertsekas, D.P., 104 Beylkin, G., 1.51, 153 Bianchini, R., 86 Binmore, K., 10, 20 Birchenhall, C., 69 Black, R., 229, 231, 234 Blair, C.E., 126

271

Blanchard, O.J., 59, 230, 266 Blinder, A., 53 Bolerslev, T., 217 Booker, L., 85 Born, J., 85 Bots, A., 162 Boucekkine, R., 229, 234 Bowman, V.J., 124, 131, 133 Box, G.E.P., 164, 165 Boyd, J., 93 Bradshaw, P., 91, 92 Bresnahan, T., 27, 30 Brillet, J., 237 Brock, W., 93 Brown, C., 86 Bruaset, A.M., 246, 250 Brunner, A.D., 218 Bulirsch, R., 52 Bunch, J.R., 255 Bunn, J., 48 Byrd, R.H., 108, 114

Cai, J., 218 Caplin, A., 53 Carlton, D., 53 Cavalier, T.M., 126 Chervonenkis, A.Y., 169 Choie, Y.-J., 167 Chopra, A., 30 Christiano, L., 89, 92 Chui, C.K., 158 Clark, P., 230 Clarke, M.R.B., 192, 196 Cohen, A., 144 Coifman, R., 151, 153 Coleman, W., 93

272

Concus, P., 245 Cooper, R.N., 258 Cuddington, J.T., 269

Daubechies, 1., 144, 145, 159 David, H.A., 154-156 David, P., 27, 48 Davis, L., 100 Day, R., 30 De Jong, K., 85 De Vany, A., 27 Deaton, A., 211 Decro, M., 125 DeI Bimbo, A., 167 Demostene, R., 162 Dert, C.L., 108, 114 Devore, R.A., 153 Diebold, F.X., 217, 226 Domowitz, 1., 58 Don, F.J.H., 233, 260, 265 Dongarra, J.J., 86, 246 Donoho, D.1., 152, 153 Doya, K., 168 Drost, F.C., 217 Dudkin, 1., 65 Duff, 1.8., 246 Dwivedi, T.D., 192 Dyer, J.8., 123, 132 Dyer, R.F., 125

Eckard, E., 59 Edgeworth, F., 33, 40 Edison, H., 230 Ehrhardt, R., 103 Ellison, G., 31, 32, 48 Engle, R.F., 165, 217 Evtushenko, Y.G., 108

Fair, R.C., 203-205, 211-214, 229, 257

Farrell, J., 27, 30 Faust, J., 234,235,238 Feldman, J., 35

Ferguson, A., 25 Fischer, S., 266 Fisher, J., 89, 92 Fisher, P., 52, 231-233 Flannery, B.P., 208, 211 Forman, E.H., 125 Forrest, S., 29, 30, 83 Foufoula-Georgiou, E., 159 Freeland, J.R., 103 Friedman, D., 10 Funaro, D., 94

Gagnon, J., 230 Gallo, G.M., 233, 265 Garbely, M., 233 Garey, M., 68 Geist, A., 70, 86 Gelatt, C., 83 Gilbert, J.R., 247, 252 Giles, D.E.A., 192, 200 Gilli, M., 233, 235 Ginzberg, M., 123 Glauber, J.W., 211 Gode, D., 52 Goffe, W.L., 139 Goldberg, D.E., 4, 77, 83 Goldfeld, S.M., 212 Golub, G.H., 192, 245, 248 Goodhart, C.A.E., 227 Gordon, R., 53, 59 Gorges-Schleuter, M., 85, 86 Granger, C.W.J., 164, 177, 185,

186 Green, E., 58 Greenstein, S., 27 Greenwald, B., 53 Grefenstette, J., 87 Gucht,D. van, 82, 85 Gustafson, 1., 246 Guttorp, P., 153

Haan, den W., 93 Hadley, G., 103

Hall, R., 79 Hall, S.G., 218 Hamilton, J.D., 217-219, 221, 222,

226 Hammarling, S.J., 194 Hansen, L.P., 204, 207, 214 Harvey, A.C., 218 Hashem, S., 185 HaussIer, D., 169 Hawkins, D.M., 153 Hayek, F., 25 Heller, W.P., 177 Helmberger, P.G., 211 Henry, S.G.B., 227 Hernandez-Cata, E., 230 Hestenes, M.R., 245 Hinton, G.E., 167 Holland, J.H., 13,82-84 Hollinger, P., 234 Holly, S., 52 Hooker, J.N., 126 Hopfield, J., 34 Horn, R., 59 Hornik, K., 161, 166-169 Huang, G., 65 Hubbard, G., 58 Huberman, B.A., 168 Hughes Hallett, A., 52, 231, 233 Hughes, T., 31 Hunt, D.J., 195

Jain, R., 167 Jarque, C.M., 165 Jenkins, G.M., 164 Jeroslow, R.G., 126 Jog, P., 82, 85 Johnson, C., 59 Johnson, D., 68 Johnstone, I.M., 152, 153 Judd, K.L., 88, 93, 97, 207, 208 Juillard, M., 229, 234 JiJi, J., 65

Kahn, C., 230 Kahneman, D., 132 Kan, A.H.G., 108, 110, 114 Kandori, M., 10 Karp, R., 68 Kasanen, E., 133 Katz, D., 26 Kauffman, S., 27, 30 Kehagias, A., 167 Kerkyacharian, G., 152, 153 Keynes, J., 58 Kim, C., 218 Kimbrough, S.E., 126 Kirkpatrick, S., 83 Klein, 1., 229 Kok, A.G.D., 103

273

KaIen, J.F., 168, 170 Kontoghiorghes, E.J., 192,194,196,

197 Korhonen, P., 131-133 Korotkich, V.V., 108 Kourouklis, S., 192, 200 Koza, J.R., 17,83 Kuan, C.-M., 167, 168 Kumar, P., 159 Kwon, H.C., 221 Kwon, Y., 167

Laan, G. van der, 234 Laffargue, J.-P., 229, 234, 258 Lahiri, K., 192 Lamoreux, C.G., 217 Landi, L., 167, 169 Laroque, G., 211 Lastrapes, W.D., 217 Laxton, D., 229,231, 234 Lee, C.-N., 167 Lee, R.M., 126 Lee, T.-H., 164 Lee, Y., 170, 172 Lemarechal, C., 82 Leshno, M., 161

274

Lewis, T., 153 Liebowitz, S., 30 Lindskog, G., 246 Lippmann, R.P., 168, 169 Liu, T., 177 Ljung, T., 165 Lofti, V., 132 Long, E.M.R., 194 Lowe, J.K., 126 Lu, W., 65 Lucas, C., 127 Luder, B.J., 153

Mühlenbein, H., 85 MacQueen, K.S., 195 Mailath, G.J., 10 Mallat, S.G., 140, 141, 143, 144,

150, 153 Mancheck, B., 86 Manderick, B., 85 Mani, G., 185 Mankiw, G., 66 Mansur, A., 234 Manteuffel, T.A., 245 Marcet, A., 93 Margolis, S., 30 Marquez, J., 230 Martin, P.W., 194 Mass, W., 166 Masson, P., 230 Mathias, K., 86 Matsushima, H., 17 Maynard Smith, 3 McClelland, J., 33, 36 McCoy, E.J., 153 McCulloch, J.H., 221 McKinnon, K.I.M., 124, 126, 127,

129 Means, G., 57, 58, 61 Meier, D.C., 162 Meredith, G., 230 Miller, R., 79

Miranda, M.J., 207, 211 Mirman, 1., 93 Mitchell, W., 57 Mitra, G., 127 Mladineo, R.H., 108 Moler, C., 247, 252 Moody, J., 177 Moody, S., 127 Moskowitz, H., 131, 132 Mozer, M.C., 170 Murata, N., 177 Mustafa, M.A., 125 Muth, J.F., 205 Myung Won Kim, 170, 172

Nason, G.P., 149, 153 Nelson, D., 217 Nemhauser, G.L., 100 Nijman, T.E., 217

Okuna-Fujiwara, M., 20 Ortega, J., 231 Ostermark, R., 133

Paige, C.C., 192, 200 Pardalos, P.M., 126 Parkinson, D., 195 Patel, N., 82 Pauletto, G., 233, 235 Pearlmutter, B.A., 167 Peierls, T., 252 Perdval, D.B., 153 Perron, P., 217 Perry, M., 63 Pesaran, B., 227 Pesaran, M.H., 164 Peterson, B., 59 Peterson, R., 103 Pfeifer, R., 162 Picard, D., 152, 153 Pigou, A., 58 Pinkus, A., 161 Poddig, T., 162

Pollack, J.B., 170 Porter, R., 58 Portues, E.L., 103 Poston, T., 167 Potapov, M.A., 108 Potter, S.M., 164 Prasnikar, V., 20 Press, W.H., 208,211

Qualls, D., 59 Quandt, R.E., 212

Radcliffe, N., 85 Rarnanathan, R., 186 Refenes, A.N., 172 Revankar, N.S., 200 Rheinboldt, W., 231 Rinnooy Kan, A.H.G., 100 Rioul, 0., 140 Rob, R., 10 Roberts, D.M., 103 Rokhlin, V., 151, 153 Rose, D., 229, 231, 234 Rose, D.J., 255 Roternberg, J., 53, 54,58 Roth, A.R., 20 Rudin, W., 141, 142 Ruiz, E., 218 Rurnelhart, D.E., 33, 36,167, 168 Rustern, B., 135 Ryvkin, A., 65

Sachs, J.D., 258 Sah, R., 31, 32 Saloner, G., 27, 30, 58 Sang-Hoon Oh, 170, 172 Santini, S., 167 Sargent, T.J., 53, 207 Saylor, P.E., 245 Schaffer, J.D., 100, 101 Scheier, C., 162 Schrnalensee, R., .53, 79 Schrnidt, P., 192

Schnabel, R.B., 108, 114 Schnitger, G., 166 Schocken, S., 161 Schornish, M., 85 Schraudolph, N., 87, 95 Schreiber, R., 247, 252 Seber, G.A.F., 196 Sefton, M., 17 Sentana, E., 218 Shapiro, H., 26 Silver, E.A., 103 Singleton, K.J., 204, 214 Srnith, G.N., 269 Srnith, R., 82 Sola, M., 227 Sontag, E.D., 166, 170, 183 Sorensen, D.C., 246 Soyster, A.L., 126 Spiessens, P., 85 Spivakovsky, 1., 234 Spulbur , D., 53 Srivastava, V.K., 192,200 Starkweather, T., 86 Stevens, G., 230 Stewart, T.J., 132 Stiefel, E., 245 Stiglitz, J., 31, 32, 53 Stoer, J., 52 Stohr, E., 123 Strang, G., 147 Straub, P., 15 Sugden, R., 30 Suh, J., 82, 85 Sunder, S., 52 Sunderan, V., 86

275

Susrnel, R., 217-219,221,222,226 Syrnansky, S., 230, 238

Tanese, R., 86 Tateher, J., 79 Taylor, J.B., 88,203-205,207,211

214,229,230,257

276

Teräsvirta, T., 164 Tesler, L.G., 192 Teukolsky, S.A., 208, 211 Theil, H., 178 Timmer, G.T., 114 TinsIey, P., 56 Tobin, J., 58 Todd, M.J., 100 Tom, A., 108 Tryon, R., 230, 234, 235, 238 Tsai, W., 65 Tsiddon, D., 66 Tveito, A., 250 Tversky, A., 132

Uhlig, H., 88, 207

Vakhutinsky, 1., 65 Van Loan, C.F., 192,245,248 Vapnik, V.N., 169 Varga, R., 231 Vecchi, M, 83 Vennemo, H., 243, 244, 247 Vetterling, W.T., 208, 211 Vial, P., 144 Viitanen, S., 108 Villers de, J., 169, 186 Vincke, P., 124, 130 Vorst, H.A. van der, 245, 246,250

WaIden, A.T., 153 Wallenius, H., 130-133 Waterson, M., 67 Weigend, A.S., 168 Werbos, P.J., 166, 167 Whalley, J., 234 White, H., 164, 167, 168, 220, 221 Whitin, T., 103 Whitley, D., 86 Wierzbicki, A.P., 133 Williams, H.P., 124, 126, 127, 129 Williams, J.C., 211 Williams, R.J., 167

Willig, R., 79 Wilson, G., 233 Wolfram, S., 247 Working, H., 212 Wright, B.D., 211

Va, V., 161 Yavaq, A., 17 Yoshizawa, S., 177 Yuan, L., 87

Zabinsky, Z., 82 Zamir, S., 20 Zapranis, A.D., 172 Zeleny, M., 133 Zellner, A., 192, 195 Zenios, S.A., 104 Zionts, S., 125, 132, 133 Zipser, D., 167 Zwol, W. van, 162

SUBJECT INDEX

Active Memory Technology, 196 adaptation, 30, 35 adaptive, 26, 29, 30, 32,35 algorithm

banded elimination, 248 BiCGSTAB, 245-247,250 block Gauss-Seidel, 232 block Jacobi, 232, 233 column sweep, 194 distributed Jacobi, 235 Fair-Taylor, 229,232,257,258,

260, 261, 263 first-order iterative, 230, 231 Gauss-Seidel, 214, 231 genetic, 69, 81-84 hili-climbing, 82

quadratic, 212 iterative tSURE, 195 Jacobi, 52,231 multicriteria, 134 nested fixed point, 203 Newton, 211,214, 230-232,244,

260, 265 parallel Jacobi, 59, 70 pattern search, 110 renumbering, 248 reverse Cuthili-McKee order­

ing, 248 two level, 24.5

arbitrage equation, 211 ARCH process, 218 architecture, 28, 31, 32,48 aspiration level, 124, 133

basis functions, 92 basis polynomial, 207

277

behavioral convergence, 132 realism, 131-133

BiCGSTAB, 245-247,250 binary choiee, 36 block diagonal matrix, 243, 246,

250, 254 boundary value problem, 258 boundedly rational, 25 Box-Jenkins model, 162

Chebyshev approximation, 208, 210 coefficient, 210 norm, 124, 133 polynomial, 93, 208

coalition, 27,29-31,33,34,36-43, 45-48

efficient, 31, 36 emergent, 29 evolution of, 26, 36, 37, 39,41 formation of, 36 fragmented, 39 fuzzy, 31, 32, 45 globally optimal, 42 noisy evolution of, 40 noisy selection of, 45 random, 41 self-organized, 26, 36 structure, 27, 29, 33-35,42 value, 27

coding arithmetie, 6 geometrie, 5 mixed, 6

collocation nodes, 207

278

column sweep, 194 commodity storage, 205, 211, 212,

214 communication

cost, 68 inter-industry, 64, 65 model,59

compatibility, 28, 29, 33 compatible choice, 28, 29, 35, 37 computer system

486 PC, 238 AMT DAP51O, 192, 195 RP9000 735-48Z, 247 IBM RISC, 86 Intel Paragon, 103 MIMD, 103, 104 SIMD, 192 Solbourne 704/6E, 237 Sun, 69, 134

conditional expectation, 206 conjectural variation, 72 connectionist, 35 constraint, 26, 32-37,48 convergence, 87, 250, 251, 254 coordination, 26, 28-31,33,37,38,

cost 42,43

communication, 68 holding, 105 ordering, 105 shortage, 106

covariance matrix, 192, 194, 199, 200

singular, 191 crossover, 5, 84 cubic spline, 90

DAP, 192, 195, 196, 199 decision support system, 123 denoising, 152 derivative

analytic, 210

finite difference, 210 diagnostic testing, 153 direct search, 110, 114 direct solver, 245,252,254 distributed Jacobi algorithm, 235 distributed parallel genetic algo-

rithm, 82 distributed processing, 85, 233

economic organization emergence of, 26 evolution of, 26

efficiency, 115 efficient solution, 124 emergence, 26 emergent

computation, 29 property, 25

end-conddition, 260 end-condition, 258, 259 estimation

maximum likelihood, 203-206, 208, 209, 211-214

method of momemts, 212 switching GARCR, 221

estimator linear unbiased, BL UE, 192 quasi maximum likelihood, 220

Euler equation, 88 residual, 89, 90

evaluation, 84 evolution, 30,31,34,36-42,45-47 evolutionary model, 4 execution time model, 191, 192,

196-199 extended path method, 203, 204,

212, 213

Fair-Taylor algorithm, 229, 232, 235, 237, 257, 258, 260, 261, 263

feedback, 29,30, 36

first-order iterative algorithm, 231 fitness, 7, 33, 83 fixed-point algorithm, 203 forecasting performance, 176 forma analysis, 85 Fourier transform, 146 Fredholm equation, 99 function assembly method, 112

game coordination, 15, 26, 36, 47,

48 evolutionary, 10 network coordination, 31 symmetrie, 9, 30

GARCH model, 217 GAUCSD,87 Gauss-Legendre quadrature, 91 Gauss-Seidel algorithm, 214, 231 Gaussian elimination, 247, 254 GENESIS, 87 genetic algorithm, 4, 69, 76, 81 genetic drift, 85 global optimum, 27, 34, 37, 39, 41,

42,82,83,87 GQOPT,212 graph,28 Gray encoding, 91

Hamilton model, 218 Hamilton-Markov switching model,

218 hill-climbing, 35, 82 Householder transformations, 196,

197 hypercube, 28, 32,48 hysteresis, 258-260, 263, 264

1/0 matrix, 59 idempotent matrix, 194 ill-conditioned matrix, 96 ill-conditioned system, 96, 98, 252 image compression, 150

input-output pricing, 67 institutions, 25, 30, 48 integer programming, 126 Intel Paragon, 103, 104 interactive interface, 124 internalize, 27 inventory

control systems, 103 cost, 103, 118 level, 105 model, 103 multi-item models, 104

island model, 86 iterative solver, 245, 246, 250

Jacobi algorithm, 52, 231 Jacobian, 243, 244, 247, 259

Lagrangian, 261

279

Lahey Fortran compiler, 212 landscape, 27, 31, 38,41,46,47 learning, 11,35, 166 least squares

generalised, 192 ordinary, 195 three-stage, 199

Leontief matrix, 59 open system, 59

likelihood funetion, 206 analytic derivatives of, 209

linear unbiased estimator, 192 load balancing, 87 loeal interactions, 28 loeal optimum, 27, 37, 48 logic modelling, 124 logic programming, 125 logic-based language, 124, 128 logical eondition, 127 logical inferenee, 126 LU decomposition, 245,247

maeroeconometric model

280

MULTIMOD, 230, 238 MX-4, 229, 234 RE-7, 229-231,234

massively parallel, 191, 192, 199 Mathematica, 247 mating, 84 Matlab, 247, 252 matrix

banded, 247 block diagonal, 243, 246, 250,

254 factorization, 247 partitioning, 70 permutation, 245, 250 scaling, 251,254

maximum likelihood estimation, 203-206, 208, 209, 211-214

media selection problem, 124 message passing, 57 method

extended path, 203, 204, 212, 213

Fair-Taylor, 257, 258, 260, 261, 263

function assembly, 112 hill-climbing, 82 Newton, 260, 265 ofmoments, 204, 205, 211-214 polynomial projection, 203-205,

207,211-214 preconditioned iterative, 246 pruning, 168 scaling, 261 sparse direct, 243,254 Spectral-Galerkin, 93 symbolic inference, 126

MIMD computer, 103, 104 mixed-integer programming, 124 model

adjustment cost, 53 ARIMA,164 ARMA,I77

Box-Jenkins, 162 connectionist of coalition, 32 Cooper and Sachs, 261 disaggregated pricing, 54 extended information set, 162,

175,179 GARCH,217 optimal borrowing, 261 optimal growth, 82, 88 path-dependent, 257 rational expectations, 229,230,

257 univariate linear, 163 VAR, 55

multi-country models, 229 multicriteria problem, 123, 130, 131 MULTIMOD, 230, 238 multiple criteria decision support

systems, 123 multiresolution analysis, 140 mutation, 5, 84 MX-4, 230

NAG,134 neighbors, 28, 29, 31-33, 35-37,

39,40 network,26,28-30,32-35,37,40,

41,48 neural network, 32-34,48, 166

block-structured, 167 multi-Iayer feedforward, 166

Newton's method, 208, 211, 232, 244,246,251,265

noise, 29, 31, 36, 41, 48 NP-complete, 68, 126

ob server , 26, 29 optimal growth model, 82, 88 optimization

constrained, 108 global, 82, 83, 87, 108

order, 25, 26, 29-31,36, 43,48 order statistic, 154, 156

orthogonal basis, 94 orthogonal transformations, 191,

192, 199 outlier testing, 153, 155

parallel genetic algorithm, 85 parallel implementation, 191 parallel Jacobi algorithm, 59, 70 path-dependent search, 27 pattern search, 108 permutation matrix, 245, 250 pivoting, 245, 248 policy function, 89 polynomial approximation, 89 polynomial projection method, 203-

205,207,211-214 preconditioner, 246, 247, 249 predieate calculus, 126 preference function, 131 preference structure, 124 pricing, 51

asymmetrie adjustment, 56 in distributed production, 57 producer, 52

problem representation, 124 proposition al calculus, 126 pruning techniques, 168 PVM, 70, 86

QR decomposition, 192, 195, 196 quadratic cost function, 167 quasi-maximum likelihood estima-

tor, 220

rational expectations, 203-207,211, 214,229,230,257

rational polynomial approximation, 94

RE-7,230 regression

backward stepwise, 196, 197 inconsistent equation, 194

regression model

281

seemingly unrelated, SURE, 191 triangular seemingly unrelated,

tSURE,191 residual diagnostic, 165 residual norm, 251, 252 resource allocation problem, 124 reverse Cuthill-McKee ordering, 248 robust decision making, 133 rootfinding problem, 207

scaling function, 146 schemata theorem, 84 score matrix, 220 search, 31, 34,47

adaptive, 31, 82, 83 random,83 undirected, 29

search pattern, 110 search space, 27 selection, 4 self-organized, 25, 26 service rate constraint, 107 signals, 27, 31, 32, 34, 35, 37,40,

41 SIMD computer, 192, 195 SIMPC, 263, 265 simulation, 108 simultaneous action, 32, 35 smoothing, 152 software package

FortLP,135 C,134 C++,69 Fortran-Plus Enhanced, 195 GAUCSD,87 GENESIS, 87 GQOPT, 212 Lahey Fortran compiler, 212 MatClass, 69 Mathematiea, 247 Matlab, 247, 252, 254 Motif,135

282

NAG, 134 PVM, 70, 86 SIMPC, 263, 265 SunPro SPARCompiler , 69 TROLL portable, 234,237,244,

247,254 sparse linear systems, 243, 244 sparse matrix, 151 sparsity pattern, 245, 254 Spectral-Galerkin method, 93 speedup, 87, 116 squashing function, 166, 170 stationary state, 257-260,262,264-

266 steady state, 257, 268 stochastic communication, 74 stochastic process, 205 SURE model, 191 switching GARCH estimation, 221 symbolic inference method, 126

technology, 26, 33 trade-off, 131 training set, 166 TROLL, portable, 234, 237, 244,

247, 254

ultimatum game, 20 utility function, 123

intertemporal, 261

V-C dimension, 169 Vandermonde matrix, 96

wavelet construction of, 145, 146 Haar, 149, 155

Advances in Computational Economics

1. A. Nagurney: Network Economics. A Variational Inequality Approach. 1993 ISBN 0-7923-9293-0

2. A.K. Duraiappah: Global Warming and Economic Development. A Holistic Approach to International Policy Co-operation and Co-ordination. 1993

3. D.A. Belsley (ed.): Analysis. 1993

4. W.W. Cooper and Economics. 1994

ISBN 0-7923-2149-9 Computational Techniques for Econometrics and Economic

ISBN 0-7923-2356-4 A.B. Whinston (eds.): New Directions in Computational

ISBN 0-7923-2539-7 5. M. Gilli (ed.): Computational Economic Systems. Models, Methods & Econometrics.

1996 ISBN 0-7923-3869-3

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