Smolyak method for solving dynamic economic models: Lagrange interpolation, anisotropic grid and adaptive domain
Por favor, use este identificador para citar o enlazar este ítem:
http://hdl.handle.net/10045/46795
Título: | Smolyak method for solving dynamic economic models: Lagrange interpolation, anisotropic grid and adaptive domain |
---|---|
Autor/es: | Judd, Kenneth L. | Maliar, Lilia | Maliar, Serguei | Valero, Rafael |
Grupo/s de investigación o GITE: | Análisis Económico |
Centro, Departamento o Servicio: | Universidad de Alicante. Departamento de Fundamentos del Análisis Económico |
Palabras clave: | Smolyak method | Sparse grid | Adaptive domain | Projection | Anisotropic grid | High-dimensional problem |
Área/s de conocimiento: | Fundamentos del Análisis Económico |
Fecha de publicación: | jul-2014 |
Editor: | Elsevier |
Cita bibliográfica: | Journal of Economic Dynamics and Control. 2014, 44: 92-123. doi:10.1016/j.jedc.2014.03.003 |
Resumen: | We show how to enhance the performance of a Smolyak method for solving dynamic economic models. First, we propose a more efficient implementation of the Smolyak method for interpolation, namely, we show how to avoid costly evaluations of repeated basis functions in the conventional Smolyak formula. Second, we extend the Smolyak method to include anisotropic constructions that allow us to target higher quality of approximation in some dimensions than in others. Third, we show how to effectively adapt the Smolyak hypercube to a solution domain of a given economic model. Finally, we argue that in large-scale economic applications, a solution algorithm based on Smolyak interpolation has substantially lower expense when it uses derivative-free fixed-point iteration instead of standard time iteration. In the context of one- and multi-agent optimal growth models, we find that the proposed modifications to the conventional Smolyak method lead to substantial increases in accuracy and speed. |
Patrocinador/es: | Lilia Maliar and Serguei Maliar acknowledge support from the Hoover Institution and Department of Economics at Stanford University, University of Alicante, Ivie, MECD and FEDER funds under the projects SEJ-2007-62656 and ECO2012-36719. Rafael Valero acknowledges support from MECD under the FPU program. |
URI: | http://hdl.handle.net/10045/46795 |
ISSN: | 0165-1889 (Print) | 1879-1743 (Online) |
DOI: | 10.1016/j.jedc.2014.03.003 |
Idioma: | eng |
Tipo: | info:eu-repo/semantics/article |
Derechos: | © 2014 Elsevier B.V. |
Revisión científica: | si |
Versión del editor: | http://dx.doi.org/10.1016/j.jedc.2014.03.003 |
Aparece en las colecciones: | INV - Análisis Económico - Artículos de Revistas |
Archivos en este ítem:
Archivo | Descripción | Tamaño | Formato | |
---|---|---|---|---|
2014_Judd_etal_JEDC_final.pdf | Versión final (acceso restringido) | 1,98 MB | Adobe PDF | Abrir Solicitar una copia |
Todos los documentos en RUA están protegidos por derechos de autor. Algunos derechos reservados.