Envelope condition method versus endogenous grid method for solving dynamic programming problems

DOI10.1016/J.ECONLET.2013.04.031MaRDI QIDQ2442407zbMATH OpenOpenAlexFDO

Authors L. Maliar, S. Maliar

Publication date 3 April 2014

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL http://www.ivie.es/downloads/docs/wpasad/wpasad-2013-07.pdf

zbMATH Keywords

curse of dimensionalitylarge scaleenvelope conditionvalue function iterationnumerical dynamic programmingendogenous grid

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Dynamic programming (90C39) Economic growth models (91B62)

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Cites work

• scientific article; zbMATH DE number 5562045 (Why is no real title available?)
• scientific article; zbMATH DE number 1241609 (Why is no real title available?)
• A generalization of the endogenous grid method
• Comparing solution methods for dynamic equilibrium economies
• Dynamic programming with shape-preserving rational spline Hermite interpolation
• Envelope condition method versus endogenous grid method for solving dynamic programming problems
• Merging simulation and projection approaches to solve high-dimensional problems with an application to a New Keynesian model
• Numerically stable and accurate stochastic simulation approaches for solving dynamic economic models
• Solving nonlinear dynamic stochastic models: an algorithm computing value function by simulations
• The method of endogenous gridpoints for solving dynamic stochastic optimization problems

Cited in

(8)

• Ruling out multiplicity of smooth equilibria in dynamic games: a hyperbolic discounting example
• The method of endogenous gridpoints in theory and practice
• A generalization of the endogenous grid method
• An envelope method for solving continuous-time stochastic models with occasionally binding constraints
• Envelope condition method with an application to default risk models
• Smolyak method for solving dynamic economic models: Lagrange interpolation, anisotropic grid and adaptive domain
• The method of endogenous gridpoints for solving dynamic stochastic optimization problems
• Envelope condition method versus endogenous grid method for solving dynamic programming problems

Describes a project that uses

Uses Software

• Matlab

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