Arbeitspapier
A generalized endogenous grid method for non-concave problems
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.
- Language
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Englisch
- Bibliographic citation
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Series: Working Paper ; No. 677
- Classification
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Wirtschaft
Computational Techniques; Simulation Modeling
- Subject
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endogenous grid method
non-concavity
Konsumentenverhalten
Dauerhaftes Konsumgut
Theorie
- Event
-
Geistige Schöpfung
- (who)
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Fella, Giulio
- Event
-
Veröffentlichung
- (who)
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Queen Mary University of London, School of Economics and Finance
- (where)
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London
- (when)
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2011
- Handle
- Last update
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10.03.2025, 11:41 AM CET
Data provider
This object is provided by:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Fella, Giulio
- Queen Mary University of London, School of Economics and Finance
Time of origin
- 2011
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