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 Fernandez-Villaverde (2007) to non-concave problems. The method is illustrated using a non-concave 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 method yields substantial gains in accuracy and efficiency relative to value function iteration, the standard solution choice for non-concave problems.
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Bibliographic InfoPaper provided by Society for Economic Dynamics in its series 2011 Meeting Papers with number 1232.
Date of creation: 2011
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Other versions of this item:
- Giulio Fella, 2011. "A Generalized Endogenous Grid Method for Non-concave Problems," Working Papers 677, Queen Mary, University of London, School of Economics and Finance.
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
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