A general endogenous grid method for multi-dimensional models with non-convexities and constraints

DOI10.1016/j.jedc.2016.11.005zbMath1401.65063OpenAlexW2520604396MaRDI QIDQ1655668

Jeppe Druedahl, Thomas Høgholm Jørgensen

Publication date: 9 August 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: http://www.econ.ku.dk/english/research/publications/wp/dp_2016/1609.pdf

zbMATH Keywords

stochastic dynamic programmingoccasionally binding constraintscontinuous and discrete choicesendogenous grid methodpost-decision states

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical mathematical programming methods (65K05) Stochastic programming (90C15) Dynamic programming (90C39)

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Uses Software

• NLopt

Cites Work

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