Multidimensional endogenous gridpoint method: Solving triangular dynamic stochastic optimization problems without root-finding operations

Fedor Iskhakov

doi:10.1016/j.econlet.2015.07.033

Multidimensional endogenous gridpoint method: Solving triangular dynamic stochastic optimization problems without root-finding operations

Fedor Iskhakov^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

8 Citations (Scopus)

Abstract

This paper defines the class of triangular dynamic stochastic optimization problems with multiple continuous choices which can be solved by the multidimensional generalization of the method of endogenous gridpoints without costly root-finding operations. The typical member of this class is a model of multiple asset dynamics, with potential applications in wealth, health and human capital accumulation, portfolio problems, multisector growth models, etc.

Original language	English
Pages (from-to)	72-76
Number of pages	5
Journal	Economics Letters
Volume	135
DOIs	https://doi.org/10.1016/j.econlet.2015.07.033
Publication status	Published - 1 Oct 2015
Externally published	Yes

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10.1016/j.econlet.2015.07.033

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title = "Multidimensional endogenous gridpoint method: Solving triangular dynamic stochastic optimization problems without root-finding operations",

abstract = "This paper defines the class of triangular dynamic stochastic optimization problems with multiple continuous choices which can be solved by the multidimensional generalization of the method of endogenous gridpoints without costly root-finding operations. The typical member of this class is a model of multiple asset dynamics, with potential applications in wealth, health and human capital accumulation, portfolio problems, multisector growth models, etc.",

keywords = "Dynamic structural models, Endogenous grid method, Multidimensional continuous choice",

author = "Fedor Iskhakov",

note = "Publisher Copyright: {\textcopyright} 2015 Elsevier B.V..",

year = "2015",

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doi = "10.1016/j.econlet.2015.07.033",

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AU - Iskhakov, Fedor

PY - 2015/10/1

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N2 - This paper defines the class of triangular dynamic stochastic optimization problems with multiple continuous choices which can be solved by the multidimensional generalization of the method of endogenous gridpoints without costly root-finding operations. The typical member of this class is a model of multiple asset dynamics, with potential applications in wealth, health and human capital accumulation, portfolio problems, multisector growth models, etc.

AB - This paper defines the class of triangular dynamic stochastic optimization problems with multiple continuous choices which can be solved by the multidimensional generalization of the method of endogenous gridpoints without costly root-finding operations. The typical member of this class is a model of multiple asset dynamics, with potential applications in wealth, health and human capital accumulation, portfolio problems, multisector growth models, etc.

KW - Dynamic structural models

KW - Endogenous grid method

KW - Multidimensional continuous choice

UR - https://www.scopus.com/pages/publications/84940204129

U2 - 10.1016/j.econlet.2015.07.033

DO - 10.1016/j.econlet.2015.07.033

M3 - Article

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VL - 135

SP - 72

EP - 76

JO - Economics Letters

JF - Economics Letters

ER -

Multidimensional endogenous gridpoint method: Solving triangular dynamic stochastic optimization problems without root-finding operations

Abstract

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