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

DOI10.1016/j.econlet.2013.04.031zbMath1284.90091OpenAlexW3122240942MaRDI QIDQ2442407

Lilia Maliar, Serguei 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)

Related Items (6)

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

Uses Software

• Matlab

Cites Work

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• Comparing solution methods for dynamic equilibrium economies
• A generalization of the endogenous grid method
• Dynamic programming with shape-preserving rational spline Hermite interpolation
• Solving nonlinear dynamic stochastic models: an algorithm computing value function by simulations
• The method of endogenous gridpoints for solving dynamic stochastic optimization problems
• Envelope condition method versus endogenous grid method for solving dynamic programming problems
• Numerically stable and accurate stochastic simulation approaches for solving dynamic economic models
• Merging simulation and projection approaches to solve high-dimensional problems with an application to a new Keynesian model

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