Universität zu Köln

Ludwig, Alexander and Schoen, Matthias (2018). Endogenous Grids in Higher Dimensions: Delaunay Interpolation and Hybrid Methods. Comput. Econ., 51 (3). S. 463 - 493. DORDRECHT: SPRINGER. ISSN 1572-9974

Full text not available from this repository.

Abstract

This paper investigates extensions of the method of endogenous gridpoints (ENDGM) introduced by Carroll (Econ Lett 91(3):312-320, 2006) to higher dimensions with more than one continuous endogenous state variable. We compare three different categories of algorithms: (i) the conventional method with exogenous grids (EXOGM), (ii) the pure method of endogenous gridpoints (ENDGM) and (iii) a hybrid method (HYBGM). ENDGM comes along with Delaunay interpolation on irregular grids. Comparison of methods is done by evaluating speed and accuracy by using a specific model with two endogenous state variables. We find that HYBGM and ENDGM both dominate EXOGM. In an infinite horizon model, ENDGM also always dominates HYBGM. In a finite horizon model, the choice between HYBGM and ENDGM depends on the number of gridpoints in each dimension. With less than 150 gridpoints in each dimension ENDGM is faster than HYBGM, and vice versa. For a standard choice of 25-50 gridpoints in each dimension, ENDGM is 1.4-1.7 times faster than HYBGM in the finite horizon version and 2.4-2.5 times faster in the infinite horizon version of the model.

Item Type:	Journal Article
Creators:	Creators Email ORCID ORCID Put Code Ludwig, Alexander UNSPECIFIED UNSPECIFIED UNSPECIFIED Schoen, Matthias UNSPECIFIED UNSPECIFIED UNSPECIFIED
URN:	urn:nbn:de:hbz:38-194958
DOI:	10.1007/s10614-016-9611-2
Journal or Publication Title:	Comput. Econ.
Volume:	51
Number:	3
Page Range:	S. 463 - 493
Date:	2018
Publisher:	SPRINGER
Place of Publication:	DORDRECHT
ISSN:	1572-9974
Language:	English
Faculty:	Unspecified
Divisions:	Unspecified
Subjects:	no entry
Uncontrolled Keywords:	Keywords Language STOCHASTIC OPTIMIZATION PROBLEMS; MODELS; EQUILIBRIUM; GRIDPOINTS; LIFE Multiple languages Economics; Management; Mathematics, Interdisciplinary Applications Multiple languages
Refereed:	Yes
URI:	http://kups.ub.uni-koeln.de/id/eprint/19495