Lanczos Methods in Economics

  1. Concepción González-Concepción 1
  2. Peter Graves-Morris 2
  1. 1 Universidad de La Laguna
    info

    Universidad de La Laguna

    San Cristobal de La Laguna, España

    ROR https://ror.org/01r9z8p25

  2. 2 Bradford College, England
    info

    Bradford College, England

    Bradford, Reino Unido

    ROR https://ror.org/02jey0g96

Journal:
Documentos de Trabajo ( Facultad de Ciencias Económicas y Empresariales, Universidad de La Laguna )

Year of publication: 2001

Issue: 3

Type: Article

Abstract

Techniques for solving systems of linear equations are important problems in themselves and they answer basic questions in Numerical Analysis. Moreover, the methods used for linear problems often help to solve non-linear problems, and many iterative schemes for linear systems have led to the development of non-linear iterative methods. The associated difficulties with the numerical resolution of linear systems (instability, ill-conditioning, etc) are the same as those of the more general problems. In Economics, large sparse systems occur frequently, and so the appropriate special methods which are as efficient and reliable as possible should be used. In this paper, we present Lanczos' iterative method and some modifications of it in the context of some problems from economics, where it is undoubtedly a more efficient alternative to the classical methods previously used.