Endogenous Grids in Higher Dimensions: Delaunay Interpolation and Hybrid Methods

Alexander Ludwig and Schön, Matthias
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Schön, Matthias: Munich Center for the Economics of Aging (MEA), Postal: Amalienstr. 33, D-80799 Munich
Authors registered in the RePEc Author Service: Matthias Schön

No 201309, MEA discussion paper series from Munich Center for the Economics of Aging (MEA) at the Max Planck Institute for Social Law and Social Policy

Abstract: This paper investigates extensions of the method of endogenous gridpoints (ENDGM) introduced by Carroll (2006) to higher dimensions with more than one continuous endogenous state variable. We compare three di erent categories of algorithms: (i) the conventional method with exogenous grids (EXOGM), (ii) the pure method of endogenous gridpoints (ENDGM) and (iii) a hybrid method (HYBGM). ENDGM comes along with Delaunay interpolation on irregular grids. Comparison of methods is done by evaluating speed and accuracy. We nd that HYBGM and ENDGM both dominate EXOGM. In an in nite horizon model, ENDGM also always dominates HYBGM. In a nite horizon model, the choice between HYBGM and ENDGM depends on the number of gridpoints in each dimension. With less than 150 gridpoints in each dimension ENDGM is faster than HYBGM, and vice versa. For a standard choice of 25 to 50 gridpoints in each dimension, ENDGM is 1:4 to 1:7 times faster than HYBGM in the nite horizon version and 2:4 to 2:5 times faster in the in nite horizon version of the model.

JEL-codes: C63 E21 (search for similar items in EconPapers)
Date: 2014-06-11
New Economics Papers: this item is included in nep-cmp, nep-dge and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Related works:
Journal Article: Endogenous Grids in Higher Dimensions: Delaunay Interpolation and Hybrid Methods (2018)
Working Paper: Endogenous grids in higher dimensions: Delaunay interpolation and hybrid methods (2016)
Working Paper: Endogenous Grids in Higher Dimensions: Delaunay Interpolation and Hybrid Methods (2014)
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