Gordon, Grey; Qiu, Shi - In: Quantitative economics : QE ; journal of the … 9 (2018) 2, pp. 521-540
A divide and conquer algorithm for exploiting policy function monotonicity is proposed and analyzed. To solve a … discrete problem with n states and n choices, the algorithm requires at most nlog2(n)+5n objective function evaluations. In … technique can be combined with a method exploiting concavity to reduce evaluations to 14n+2log2(n). A version of the algorithm …