A generalized endogenous grid method for non-concave problems

Giulio Fella

No 1232, 2011 Meeting Papers from Society for Economic Dynamics

Abstract: This paper extends Carroll's (2006) endogenous grid method and its combination with value function iteration by Barillas and Fernandez-Villaverde (2007) to non-concave problems. The method is illustrated using a non-concave 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 method yields substantial gains in accuracy and efficiency relative to value function iteration, the standard solution choice for non-concave problems.

Date: 2011
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Working Paper: A Generalized Endogenous Grid Method for Non-concave Problems (2011)
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