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

We introduce an envelope condition method (ECM) for solving dynamic programming problems. The ECM method is simple to implement, dominates conventional value function iteration and is comparable in accuracy and cost to Carroll’s (2005) endogenous grid method. Codes are available.

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Year of publication:	2013-07
Authors:	Maliar, Lilia ; Maliar, Serguei
Institutions:	Instituto Valenciano de Investigaciones Económicas (IVIE)
Subject:	Numerical dynamic programming \| Value function iteration \| Endogenous grid \| Envelope condition \| Curse of dimensionality \| Large scale

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Extent:	application/pdf
Series:	Working Papers. Serie AD.
Type of publication:	Book / Working Paper
Notes:	Published by Ivie 16 pages
Classification:	C6 - Mathematical Methods and Programming ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; C63 - Computational Techniques ; C68 - Computable General Equilibrium Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010698652