The Method of Moderation for Solving Dynamic Stochastic Optimization Problems

Weifeng Wu, Kiichi Tokuoka and Christopher Carroll
Additional contact information
Weifeng Wu: Johns Hopkins University
Kiichi Tokuoka: International Monetary Fund

No 1102, 2012 Meeting Papers from Society for Economic Dynamics

Abstract: We show that using a remapped version of the decision rule for a standard dynamic stochastic optimization problem, where the mapping is defined by asymptotic limits of the rule as uncertainty goes to zero, produces a solution that is both more robust (in the sense that a stable solution emerges across a wide range of parameter values with no 'tweaking' of the algorithm) and more efficient (in the sense that a rule of given accuracy can be represented with many fewer computations) than standard solution methods.

Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://red-files-public.s3.amazonaws.com/meetpapers/2012/paper_1102.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:red:sed012:1102

Access Statistics for this paper

More papers in 2012 Meeting Papers from Society for Economic Dynamics Contact information at EDIRC.
Bibliographic data for series maintained by Christian Zimmermann ().