A Toolkit for Value Function Iteration

Robert Kirkby

Computational Economics, 2017, vol. 49, issue 1, No 1, 15 pages

Abstract: Abstract This article introduces a Toolkit for Value Function Iteration. The toolkit is implemented in Matlab and makes automatic use of the GPU and of parallel CPUs. Likely uses are Teaching, Testing Algorithms, Replication, and Research. I here provide a description of some of the main components and algorithms. I also describe the design philosophy underlying choices about how to structure the toolkit and which algorithms to use. Rather than provide simple examples, something best done online (links are given), I instead perform a replication of a classic paper from the real business cycle literature as a demonstration of the use of such a toolkit. The Toolkit, Documentation, Examples, Replications, and more can be found at vfitoolkit.com

Keywords: Value Function Iteration; Matlab Toolkit; GPU; Discretization; Replication (search for similar items in EconPapers)
JEL-codes: C15 C61 C63 C68 C88 E00 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (6)

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DOI: 10.1007/s10614-015-9544-1

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