Multigrid Techniques in Economics

Adam Speight ()
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Adam Speight: Computation Institute, University of Chicago, Chicago, Illinois

Operations Research, 2010, vol. 58, issue 4-part-2, 1057-1078

Abstract: I present a self-contained introduction to multigrid methods with an emphasis on techniques relevant to dynamic programming and related problems. A probabilistic interpretation of the numerical principles is highlighted. Multigrid solvers are shown to be naturally matched to the challenges posed by intractable structural dynamic models routinely encountered in applied economics. I argue that multigrid techniques have potential to substantially extend the scale and complexity of models under consideration. Multigrid also provides a unified computational framework to extend model solvers to perform sensitivity analysis, calibration, estimation, and counterfactual policy experiments.

Keywords: computational economics; dynamic programming; multigrid (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (2)

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