Envelope condition method versus endogenous grid method for solving dynamic programming problems
نویسندگان
چکیده
We introduce an envelope condition method (ECM) for solving dynamic programming problems. The ECM method is simple to implement, dominates conventional value function iteration and is comparable in accuracy and cost to Carroll’s (2005) endogenous grid method. : C6, C61, C63, C68 : Numerical dynamic programming; Value function iteration; Endogenous grid; Envelope condition; Curse of dimensionality; Large scale ∗Hoover Institution, Stanford University. Corresponding author: Lilia Maliar, T24, Hoover Institution, 434 Galvez Mall, Stanford University, Stanford, CA 94305-6010, USA; tel 650-7253416; email: [email protected]
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