A Generalized Endogenous Grid Method for Non-concave Problems

Giulio Fella

No 677, Working Papers from Queen Mary University of London, School of Economics and Finance

Abstract: This paper extends Carroll's (2006) endogenous grid method and its combination with value function iteration by Barillas and Fernández-Villaverde (2007) to non-concave problems. The method is illustrated using a consumer problem in which consumers choose both durable and non-durable consumption. The durable choice is discrete and subject to non-convex adjustment costs. The algorithm yields substantial gains in accuracy and computational time relative to value function iteration, the standard solution choice for non-concave problems.

Keywords: Endogenous grid method; Non-concavity (search for similar items in EconPapers)
JEL-codes: C63 (search for similar items in EconPapers)
Date: 2011-05-01
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Citations: View citations in EconPapers (2)

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Working Paper: A generalized endogenous grid method for non-concave problems (2011)
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