High-dimensional dynamic stochastic model representation
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Publication:5084508
high-performance computinghigh-dimensional model representationadaptive sparse gridsinternational real business cycles
Multidimensional problems (41A63) Approximation algorithms (68W25) Series expansions (e.g., Taylor, Lidstone series, but not Fourier series) (41A58) Parallel algorithms in computer science (68W10) Economic dynamics (91B55) Stochastic models in economics (91B70) Computational methods for problems pertaining to game theory, economics, and finance (91-08)
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Cites work
- scientific article; zbMATH DE number 3168214 (Why is no real title available?)
- scientific article; zbMATH DE number 52448 (Why is no real title available?)
- scientific article; zbMATH DE number 1241609 (Why is no real title available?)
- Adaptive ANOVA decomposition of stochastic incompressible and compressible flows
- An adaptive hierarchical sparse grid collocation algorithm for the solution of stochastic differential equations
- An adaptive high-dimensional stochastic model representation technique for the solution of stochastic partial differential equations
- Comparison of solutions to the multi-country real business cycle model
- Computational suite of models with heterogeneous agents II: multi-country real business cycle models
- Computing equilibrium in OLG models with stochastic production
- DEEP EQUILIBRIUM NETS
- Efficient input-output model representations
- General formulation of HDMR component functions with independent and correlated variables
- General foundations of high-dimensional model representations
- Making carbon taxation a generational win win
- Multi-country real business cycle models: accuracy tests and test bench
- Multivariate quadrature on adaptive sparse grids
- On ANOVA expansions and strategies for choosing the anchor point
- On decompositions of multivariate functions
- On the implementation of an interior-point filter line-search algorithm for large-scale nonlinear programming
- Solving nonlinear dynamic stochastic models: an algorithm computing value function by simulations
- Sparse grid quadrature in high dimensions with applications in finance and insurance
- Sparse grids
- Spatially adaptive sparse grids for high-dimensional data-driven problems
- Stationary Equilibria in Asset-Pricing Models with Incomplete Markets and Collateral
- Using adaptive sparse grids to solve high-dimensional dynamic models
Cited in
(10)- Approximating high-dimensional dynamic models: sieve value function iteration
- Efficient representation of state spaces for some dynamic models
- Algorithm 1040: the Sparse Grids Matlab Kit -- a Matlab implementation of sparse grids for high-dimensional function approximation and uncertainty quantification
- Merging simulation and projection approaches to solve high-dimensional problems with an application to a New Keynesian model
- Solving, estimating, and selecting nonlinear dynamic models without the curse of dimensionality
- Uniformly self-justified equilibria
- Smolyak method for solving dynamic economic models: Lagrange interpolation, anisotropic grid and adaptive domain
- Using adaptive sparse grids to solve high-dimensional dynamic models
- A hardware approach to value function iteration
- Multigrid techniques in economics
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