In this paper, we focus on the mathematical program with second-order cone (SOC) complementarity constraints, which contains the well-known mathematical program with nonnegative complementarity constraints as a subclass. For solving such a problem, we propose a smoothing-based sequential quadratic programming (SQP) methods. We first replace the SOC complementarity constraints with equality cons...

Estimates of instrumental rules can be utilized to describe central bank's behavior and monetary policy stance. In the last decade, considerable attention has been given to time-varying parameter (TVP) specification of monetary policy rules. Constant-parameter reaction functions likely ignore the impact of model uncertainty, shifting preferences and nonlinearities of policymaker's choices. This...

In this paper we focus on two methods for multivariate approximation problems with non-uniformly distributed noisy data. The new approach proposed here is an iterated approximate moving least-squares method. We compare our method to ridge regression which filters out noise by using a smoothing parameter. Our goal is to find an optimal number of iterations for the iterative method and an optimal...