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

DOI10.1016/j.econlet.2013.04.031zbMath1284.90091MaRDI 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 dimensionality; large scale; envelope condition; value function iteration; numerical dynamic programming; endogenous grid

Mathematics Subject Classification ID

65K05: Numerical mathematical programming methods

90C39: Dynamic programming

91B62: Economic growth models

Related Items

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

Uses Software

• Matlab

Cites Work

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• A generalization of the endogenous grid method
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• 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