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Occasional Staff Studies OSS-4: The Anderson-Moore Algorithm |
The Anderson-Moore Algorithm is a powerful method for solving linear saddle point models. The algorithm has proven useful in a wide array of applications, including analyzing linear perfect-foresight models and providing initial solutions and asymptotic constraints for nonlinear models. The algorithm solves linear problems with dozens of lags and leads and hundreds of equations in seconds. The technique works well both for symbolic and numerical computation.
At the Board of Governors, economists commonly refer to a collection of this and other related algorithms as the AIM algorithm. A metaphor relating our approach to the ``shooting method'' for solving two point boundary problems inspired the name.
This site presents the
current algorithm in the hope that economists
outside the Federal Reserve may also find it useful.
Examples of AIM code's use
Downloadable code
Papers about and using AIM
Contact information