Arbeitspapier
Approximate dynamic programming with postdecision states as a solution method for dynamic economic models
I introduce and evaluate a new stochastic simulation method for dynamic economic models. It is based on recent work in the operations research and engineering literatures (Van Roy et. al, 1997; Powell, 2007; Bertsekas, 2011). The baseline method involves rewriting the household's dynamic program in terms of post-decision states. This makes it possible to choose controls optimally without computing an expectation. I add a subroutine to the original algorithm that updates the values of states not visited frequently on the simulation path; and adopt a stochastic stepsize that efficiently weights information. Finally, I modify the algorithm to exploit GPU computing.
- Sprache
-
Englisch
- Erschienen in
-
Series: Sveriges Riksbank Working Paper Series ; No. 276
- Klassifikation
-
Wirtschaft
Mathematical Methods; Programming Models; Mathematical and Simulation Modeling: General
Optimization Techniques; Programming Models; Dynamic Analysis
Computational Techniques; Simulation Modeling
Incomplete Markets
- Thema
-
Numerical Solutions
Approximations
Heterogeneous Agents
Nonlinear Numerical Solutions
Dynamic Programming
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Hull, Isaiah
- Ereignis
-
Veröffentlichung
- (wer)
-
Sveriges Riksbank
- (wo)
-
Stockholm
- (wann)
-
2013
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Hull, Isaiah
- Sveriges Riksbank
Entstanden
- 2013
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