Smolyak method for solving dynamic economic models: Lagrange interpolation, anisotropic grid and adaptive domain
From MaRDI portal
Publication:1994576
DOI10.1016/j.jedc.2014.03.003zbMath1402.91368OpenAlexW3125480909MaRDI QIDQ1994576
Lilia Maliar, Rafael Valero, Kenneth L. Judd, Serguei Maliar
Publication date: 1 November 2018
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: http://www.nber.org/papers/w19326.pdf
Related Items (23)
Computing time-consistent equilibria: a perturbation approach ⋮ Robust optimal control of compartmental models in epidemiology: application to the COVID-19 pandemic ⋮ Non-intrusive reduced order modelling of the Navier-Stokes equations ⋮ Envelope condition method with an application to default risk models ⋮ A Sparse Interpolation Algorithm for Dynamical Simulations in Computational Chemistry ⋮ Sparse grid method for highly efficient computation of exposures for xVA ⋮ Optimization of black-box problems using Smolyak grids and polynomial approximations ⋮ When the U.S. catches a cold, Canada sneezes: a lower-bound tale told by deep learning ⋮ DEEP EQUILIBRIUM NETS ⋮ A simple but powerful simulated certainty equivalent approximation method for dynamic stochastic problems ⋮ Surrogate modeling of time-domain electromagnetic wave propagation via dynamic mode decomposition and radial basis function ⋮ Set propagation in dynamical systems with generalised polynomial algebra and its computational complexity ⋮ Computational methods for production-based asset pricing models with recursive utility ⋮ A reduced basis method for a PDE-constrained optimization formulation in discrete fracture network flow simulations ⋮ An incremental form interpolation model together with the Smolyak method for multi-material topology optimization ⋮ Smolyak method for solving dynamic economic models: Lagrange interpolation, anisotropic grid and adaptive domain ⋮ A single variable-based method for concurrent multiscale topology optimization with multiple materials ⋮ SAMBA: sparse approximation of moment-based arbitrary polynomial chaos ⋮ Solving dynamic discrete choice models using smoothing and sieve methods ⋮ Adaptive interpolation algorithm on sparse meshes for numerical integration of systems of ordinary differential equations with interval uncertainties ⋮ A parameterized non-intrusive reduced order model and error analysis for general time-dependent nonlinear partial differential equations and its applications ⋮ Guaranteed cost spacecraft attitude stabilization under actuator misalignments using linear partial differential equations ⋮ A non-intrusive model order reduction approach for parameterized time-domain Maxwell's equations
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Comparison of solutions to the multi-country real business cycle model
- Solving the multi-country real business cycle model using ergodic set methods
- Solving the multi-country real business cycle model using a Smolyak-collocation method
- The risk-free rate in heterogeneous-agent incomplete-insurance economies
- Parameterized expectations algorithm: how to solve for labor easily
- Computing equilibrium in OLG models with stochastic production
- Comparing solution methods for dynamic equilibrium economies
- Projection methods for solving aggregate growth models
- Adaptive sparse grid multilevel methods for elliptic PDEs based on finite differences
- Numerical integration using sparse grids
- Explicit cost bounds of algorithms for multivariate tensor product problems
- Dimension-adaptive tensor-product quadrature
- Algorithms for solving dynamic models with occasionally binding constraints
- d-Variate Boolean interpolation
- Solving nonlinear dynamic stochastic models: an algorithm computing value function by simulations
- The method of endogenous gridpoints for solving dynamic stochastic optimization problems
- High dimensional polynomial interpolation on sparse grids
- Smolyak method for solving dynamic economic models: Lagrange interpolation, anisotropic grid and adaptive domain
- Envelope condition method versus endogenous grid method for solving dynamic programming problems
- Approximate Dynamic Programming
- Numerically stable and accurate stochastic simulation approaches for solving dynamic economic models
- Algorithm 847
- Solving, Estimating, and Selecting Nonlinear Dynamic Models Without the Curse of Dimensionality
- Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models
- SOLVING LARGE-SCALE RATIONAL-EXPECTATIONS MODELS
- Using Randomization to Break the Curse of Dimensionality
- Merging simulation and projection approaches to solve high-dimensional problems with an application to a new Keynesian model
- Sparse grids
- The Optimum Addition of Points to Quadrature Formulae
- Fast calculation of coefficients in the Smolyak algorithm
This page was built for publication: Smolyak method for solving dynamic economic models: Lagrange interpolation, anisotropic grid and adaptive domain
