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

Lilia Maliar and Serguei Maliar

Economics Letters, 2013, vol. 120, issue 2, 262-266

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)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (32)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165176513002097
Full text for ScienceDirect subscribers only

Related works:
Software Item: Envelope Condition Method and Endogenous Grid Method (EGM) for the neoclassical growth model with elastic labor supply in "Envelope Condition Method versus Endogenous Grid Method for Solving Dynamic Programming Problems" (2013)
Working Paper: Envelope condition method versus endogenous grid method for solving dynamic programming problems (2013)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:120:y:2013:i:2:p:262-266

DOI: 10.1016/j.econlet.2013.04.031

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().