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A Rapid Grid Search Method for Solving Dynamic Programming Problems in Economics |
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| Authors: | Hui He Hao Zhang |
| Institution: | 1. School of Economics, and Key Laboratory of Mathematical Economics, Shanghai University of Finance and Economics, Shanghai 200433, China; 2. School of Labor and Human Resources, Renmin University of China, Beijing 100872, China |
| Abstract: | We introduce a rapid grid search method in solving dynamic programming problems in economics. Compared to mainstream grid search methods, by using local information of the Bellman equation, this method can significantly increase the efficiency in solving dynamic programming problems by reducing the grid points searched in the control space. |
| Keywords: | dynamic programming Bellman equation grid search concavity searching efficiency |
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