Using Adaptive Sparse Grids to Solve High-Dimensional Dynamic Models.

We present a flexible and scalable method for computing global solutions of high-dimensional stochastic dynamic models. Within a time iteration or value function iteration setup, we interpolate functions using an adaptive sparse grid algorithm. With increasing dimensions, sparse grids grow much more...

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Detalles Bibliográficos

Publicado en:	Econometrica Vol. 85; no. 5; pp. 1575 - 1613
Autores principales:	Brumm, Johannes, Scheidegger, Simon
Formato:	Artículo
Publicado:	Wiley-Blackwell Sep2017
Materias:	Stochastic analysis Mathematical functions Algorithms Mathematical analysis Algebra
Acceso en línea:	Ver este registro en EBSCOhost