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

Author

Listed:
  • Hui He

    () (University of Hawaii at Manoa, Department of Economics)

  • Hao Zhang

    () (University of Hawaii at Manoa, Department of Economics)

Abstract

We introduce a rapid grid search method in solving the 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, 2010. "A Note on a Rapid Grid Search Method for Solving Dynamic Programming Problems in Economics," Working Papers 201017, University of Hawaii at Manoa, Department of Economics.
  • Handle: RePEc:hai:wpaper:201017
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    File URL: http://www.economics.hawaii.edu/research/workingpapers/WP_10-17.pdf
    File Function: First version, 2010
    Download Restriction: no

    More about this item

    Keywords

    Dynamic Programming; Grid Search; Control Space;

    JEL classification:

    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • C68 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computable General Equilibrium Models

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