Quasi-random Monte Carlo application in CGE systematic sensitivity analysis

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Tác giả: Theodoros Chatzivasileiadis

Ngôn ngữ: eng

Ký hiệu phân loại: 001.434 Experimental method

Thông tin xuất bản: 2017

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Bộ sưu tập: Metadata

ID: 161589

Comment: 7 pages, 6 figures, SubmittedThe uncertainty and robustness of Computable General Equilibrium models can be assessed by conducting a Systematic Sensitivity Analysis. Different methods have been used in the literature for SSA of CGE models such as Gaussian Quadrature and Monte Carlo methods. This paper explores the use of Quasi-random Monte Carlo methods based on the Halton and Sobol' sequences as means to improve the efficiency over regular Monte Carlo SSA, thus reducing the computational requirements of the SSA. The findings suggest that by using low-discrepancy sequences, the number of simulations required by the regular MC SSA methods can be notably reduced, hence lowering the computational time required for SSA of CGE models.
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