Lanczos Methods in Economics

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

    Universidad de La Laguna

    San Cristobal de La Laguna, España


  2. 2 Bradford College, England

    Bradford College, England

    Bradford, Reino Unido


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

Year of publication: 2001

Issue: 3

Type: Article


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.