Multidimensional endogenous gridpoint method: solving triangular dynamic stochastic optimization problems without root-finding operations

DOI10.1016/J.ECONLET.2015.07.033zbMath1394.90550OpenAlexW2232802418MaRDI QIDQ1663961

Fedor Iskhakov

Publication date: 24 August 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2015.07.033

zbMATH Keywords

dynamic structural modelsendogenous grid methodmultidimensional continuous choice

Mathematics Subject Classification ID

Stochastic programming (90C15) Dynamic programming (90C39) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (4)

A general endogenous grid method for multi-dimensional models with non-convexities and constraints ⋮ The method of endogenous gridpoints in theory and practice ⋮ Corrigendum to ``Multidimensional endogenous gridpoint method: solving triangular dynamic stochastic optimization problems without root-finding operations ⋮ Effects of taxes and safety net pensions on life-cycle labor supply, savings and human capital: the case of Australia

Cites Work

• The method of endogenous gridpoints with occasionally binding constraints among endogenous variables
• A generalization of the endogenous grid method
• The method of endogenous gridpoints for solving dynamic stochastic optimization problems
• Approximate Dynamic Programming
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