Smolyak method for solving dynamic economic models: Lagrange interpolation, anisotropic grid and adaptive domain
From MaRDI portal
Publication:1994576
DOI10.1016/J.JEDC.2014.03.003zbMATH Open1402.91368OpenAlexW3125480909MaRDI QIDQ1994576FDOQ1994576
Authors: Kenneth L. Judd, L. Maliar, S. Maliar, Rafael Valero 
Publication date: 1 November 2018
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
Full work available at URL: http://www.nber.org/papers/w19326.pdf
Recommendations
- Using adaptive sparse grids to solve high-dimensional dynamic models
- High-dimensional dynamic stochastic model representation
- Solving the multi-country real business cycle model using a Smolyak-collocation method
- The method of endogenous gridpoints in theory and practice
- Multigrid techniques in economics
Cites Work
- Algorithm 847
- Title not available (Why is that?)
- Sparse grids
- Numerical integration using sparse grids
- Title not available (Why is that?)
- Title not available (Why is that?)
- Approximate dynamic programming. Solving the curses of dimensionality
- Dimension-adaptive tensor-product quadrature
- High dimensional polynomial interpolation on sparse grids
- Title not available (Why is that?)
- The risk-free rate in heterogeneous-agent incomplete-insurance economies
- Solving, estimating, and selecting nonlinear dynamic models without the curse of dimensionality
- Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models
- The Optimum Addition of Points to Quadrature Formulae
- Computing equilibrium in OLG models with stochastic production
- d-Variate Boolean interpolation
- The method of endogenous gridpoints for solving dynamic stochastic optimization problems
- Envelope condition method versus endogenous grid method for solving dynamic programming problems
- Comparing solution methods for dynamic equilibrium economies
- Using Randomization to Break the Curse of Dimensionality
- Projection methods for solving aggregate growth models
- Explicit cost bounds of algorithms for multivariate tensor product problems
- Fast calculation of coefficients in the Smolyak algorithm
- Adaptive sparse grid multilevel methods for elliptic PDEs based on finite differences
- Algorithms for solving dynamic models with occasionally binding constraints
- Numerically stable and accurate stochastic simulation approaches for solving dynamic economic models
- SOLVING LARGE-SCALE RATIONAL-EXPECTATIONS MODELS
- 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
- Parameterized expectations algorithm: how to solve for labor easily
- Smolyak method for solving dynamic economic models: Lagrange interpolation, anisotropic grid and adaptive domain
- Solving nonlinear dynamic stochastic models: an algorithm computing value function by simulations
- Merging simulation and projection approaches to solve high-dimensional problems with an application to a new Keynesian model
Cited In (30)
- A non-Gaussian Bayesian filter for sequential data assimilation with non-intrusive polynomial chaos expansion
- Sparse collocation method for global sensitivity analysis and calculation of statistics of solutions in SPDEs
- DEEP EQUILIBRIUM NETS
- Computing time-consistent equilibria: a perturbation approach
- Artificial neural networks to solve dynamic programming problems: a bias-corrected Monte Carlo operator
- Pseudospectral methods for continuous-time heterogeneous-agent models
- Using a hyperbolic cross to solve non-linear macroeconomic models
- 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
- Robust optimal control of compartmental models in epidemiology: application to the COVID-19 pandemic
- Non-intrusive reduced order modelling of the Navier-Stokes equations
- 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
- A simple but powerful simulated certainty equivalent approximation method for dynamic stochastic problems
- A single variable-based method for concurrent multiscale topology optimization with multiple materials
- SAMBA: sparse approximation of moment-based arbitrary polynomial chaos
- A parameterized non-intrusive reduced order model and error analysis for general time-dependent nonlinear partial differential equations and its applications
- The sparse-grid-based adaptive spectral Koopman method
- Envelope condition method with an application to default risk models
- Sparse grid method for highly efficient computation of exposures for xVA
- Solving dynamic discrete choice models using smoothing and sieve methods
- Smolyak method for solving dynamic economic models: Lagrange interpolation, anisotropic grid and adaptive domain
- Guaranteed cost spacecraft attitude stabilization under actuator misalignments using linear partial differential equations
- Adaptive interpolation algorithm on sparse meshes for numerical integration of systems of ordinary differential equations with interval uncertainties
- A Sparse Interpolation Algorithm for Dynamical Simulations in Computational Chemistry
- A non-intrusive model order reduction approach for parameterized time-domain Maxwell's equations
- Surrogate modeling of time-domain electromagnetic wave propagation via dynamic mode decomposition and radial basis function
- Monetary policy, redistribution, and risk premia
- Computational methods for production-based asset pricing models with recursive utility
- Set propagation in dynamical systems with generalised polynomial algebra and its computational complexity
Uses Software
This page was built for publication: Smolyak method for solving dynamic economic models: Lagrange interpolation, anisotropic grid and adaptive domain
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1994576)
