A Generalized Endogenous Grid Method for Non-concave Problems
AbstractThis paper extends Carroll's (2006) endogenous grid method and its combination with value function iteration by Barillas and Fern�ndez-Villaverde (2007) to non-concave problems. The method is illustrated using a consumer problem in which consumers choose both durable and non-durable consumption. The durable choice is discrete and subject to non-convex adjustment costs. The algorithm yields substantial gains in accuracy and computational time relative to value function iteration, the standard solution choice for non-concave problems.
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Bibliographic InfoPaper provided by Queen Mary, University of London, School of Economics and Finance in its series Working Papers with number 677.
Date of creation: May 2011
Date of revision:
Endogenous grid method; Non-concavity;
Other versions of this item:
- Giulio Fella, 2011. "Code for "A generalized endogenous grid method for non-concave problems"," QM&RBC Codes 185, Quantitative Macroeconomics & Real Business Cycles.
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-05-14 (All new papers)
- NEP-CMP-2011-05-14 (Computational Economics)
- NEP-DGE-2011-05-14 (Dynamic General Equilibrium)
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