Arbeitspapier
Value function iteration as a solution method for the Ramsey model
Value function iteration is one of the standard tools for the solution of the Ramsey model. We compare six different ways of value function iteration with regard to speed and precision. We find that value function iteration with cubic spline interpolation between grid points dominates the other methods in most cases. For the initialization of the value function over a fine grid, modified policy function iteration over a coarse grid and subsequent linear interpolation between the grid points provides a very efficient way to reduce computational time.
- Language
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Englisch
- Bibliographic citation
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Series: CESifo Working Paper ; No. 2278
- Classification
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Wirtschaft
Computational Techniques; Simulation Modeling
Computable General Equilibrium Models
Business Fluctuations; Cycles
- Subject
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value function iteration
policy function iteration
Howard's algorithm
acceleration
cubic interpolation
stochastic Ramsey model
Dynamisches Gleichgewicht
Mathematische Optimierung
Theorie
- Event
-
Geistige Schöpfung
- (who)
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Heer, Burkhard
Maußner, Alfred
- Event
-
Veröffentlichung
- (who)
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Center for Economic Studies and ifo Institute (CESifo)
- (where)
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Munich
- (when)
-
2008
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
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Object type
- Arbeitspapier
Associated
- Heer, Burkhard
- Maußner, Alfred
- Center for Economic Studies and ifo Institute (CESifo)
Time of origin
- 2008
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