High-dimensional dynamic stochastic model representation
DOI10.1137/21M1392231OpenAlexW4282573382MaRDI QIDQ5084508FDOQ5084508
Authors: Aryan Eftekhari, Simon Scheidegger 
Publication date: 24 June 2022
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2202.06555
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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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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
- Uniformly self-justified equilibria
- Solving, estimating, and selecting nonlinear dynamic models without the curse of dimensionality
- 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
Uses Software
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