NGMS: Newton-GMRES for model simulation

NGMS is a Matlab code for solving medium/large-scale forward-looking macroeconometric models. NGMS implements a Newton-GMRES method specially suited for these class of problems. Constant forcing terms are employed: at each step, the Newton equation is solved with modest accuracy and a cheap preconditioner can be used. The user can choose between two types of preconditioners. Moreover a non monotone line-search tecnique is used. In many macroeconometrics models the variables can be reordered so that the nonlinear systems exhibits a large block of interdependent equations, which is preceeded and followed by recursive equations. This way, only the block of interdependent equations is solved by a Newton-like approach. NGMS is structured in order to exploit this decomposition whenever it is available. Various input/output options are provided, and we refer to the code itself for further documentation. NGMS code has non-commercial purposes. We assume no responsibility for any errors that may exist in the provided routines. We welcome questions, comments, recommended changes and bug reports. If you use this code, the authors would appreciate your acknowledging having done so in the reports, publications, theses, etc., resulting from their use citing: S. Bellavia; S. Magheri; C. Miani (2011). Inexact Newton methods for model simulation. INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS, vol. 88, pp. 2969-2987