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A Rapid Grid Search Method for Solving Dynamic Programming Problems in Economics

Author

Listed:
  • Hui He

    () (School of Economics, and Key Laboratory of Mathematical Economics, Shanghai University of Finance and Economics, Shanghai 200433, China)

  • Hao Zhang

    () (School of Labor and Human Resources, Renmin University of China, Beijing 100872, China)

Abstract

We introduce a rapid grid search method in solving dynamic programming problems in economics. Compared to mainstream grid search methods, by using local information of the Bellman equation, this method can significantly increase the efficiency in solving dynamic programming problems by reducing the grid points searched in the control space.

Suggested Citation

  • Hui He & Hao Zhang, 2013. "A Rapid Grid Search Method for Solving Dynamic Programming Problems in Economics," Frontiers of Economics in China, Higher Education Press, vol. 8(2), pages 260-271, June.
  • Handle: RePEc:fec:journl:v:8:y:2013:i:2:p:260-271
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    File URL: http://journal.hep.com.cn/fec/EN/10.3868/s060-002-013-0013-4
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    More about this item

    Keywords

    dynamic programming; Bellman equation; grid search; concavity; searching efficiency;

    JEL classification:

    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • E13 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Neoclassical
    • E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications

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