A Method to Pre-compile Numerical Integrals When Solving Stochastic Dynamic Problems

Karolos Arapakis ()
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Karolos Arapakis: University College London

Computational Economics, 2023, vol. 61, issue 2, No 5, 593-610

Abstract: Abstract We show how the interpolation step of numerical integration can be pre-compiled in partial equilibrium stochastic dynamic problems. We display the pre-compilation’s sufficient conditions and document its speed gains using a consumption-savings model with a discrete labour choice, wage uncertainty and stochastic non-labour income.

Keywords: Numerical methods; Numerical integration; Pre-compilation; Endogenous grid method; Value function iteration (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1007/s10614-021-10221-7

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