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 contrast, existing methods for nonconcave problems require...