Envelope condition method versus endogenous grid method for solving dynamic programming problems

  1. Lilia Maliar 1
  2. Serguei Maliar 1
  1. 1 Stanford University; Universitat d'Alacant
Revista:
Working papers = Documentos de trabajo: Serie AD

Ano de publicación: 2013

Número: 7

Páxinas: 1-15

Tipo: Documento de traballo

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Resumo

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. Codes are available

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