Using Adaptive Sparse Grids to Solve High-Dimensional Dynamic Models
نویسندگان
چکیده
منابع مشابه
Using Adaptive Sparse Grids to Solve High-Dimensional Dynamic Models∗
We present a flexible and scalable method to compute global solutions of high-dimensional non-smooth dynamic models. Within a timeiteration setup, we interpolate policy functions using an adaptive sparse grid algorithm with piecewise multi-linear (hierarchical) basis functions. As the dimensionality increases, sparse grids grow considerably slower than standard tensor product grids. In addition...
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Disclaimer: This pdf version differs slightly from the printed version. Few typos have been corrected! Acknowledgments This thesis would not have been possible without the direct and indirect contributions of several colleagues and friends to which I owe my greatest gratitude. Foremost, I am heartily thankful to my supervisor Hans-Joachim Bungartz for " panem et circenses " , enabling me to wor...
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ژورنال
عنوان ژورنال: Econometrica
سال: 2017
ISSN: 0012-9682
DOI: 10.3982/ecta12216