Envelope condition method versus endogenous grid method for solving dynamic programming problems

Lilia Maliar and Serguei Maliar

Working Papers. Serie AD from Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie)

Abstract: We introduce an envelope condition method (ECM) for solving dynamic programming problems. The ECM method is simple to implement, dominates conventional value function iteration and is comparable in accuracy and cost to Carroll’s (2005) endogenous grid method. Codes are available.

Keywords: Numerical dynamic programming; Value function iteration; Endogenous grid; Envelope condition; Curse of dimensionality; Large scale (search for similar items in EconPapers)
JEL-codes: C6 C61 C63 C68 (search for similar items in EconPapers)
Pages: 16 pages
Date: 2013-07
New Economics Papers: this item is included in nep-cmp and nep-dge
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Citations: View citations in EconPapers (30)

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http://www.ivie.es/downloads/docs/wpasad/wpasad-2013-07.pdf Fisrt version / Primera version, 2013 (application/pdf)

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Journal Article: Envelope condition method versus endogenous grid method for solving dynamic programming problems (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:ivi:wpasad:2013-07

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