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Frontiers of Economics in China

Front Econ Chin    2013, Vol. 8 Issue (2) : 260-271     https://doi.org/10.3868/s060-002-013-0013-4
research-article
A Rapid Grid Search Method for Solving Dynamic Programming Problems in Economics
Hui He1(), Hao Zhang2()
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
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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     
Corresponding Author(s): Hui He,Email:he.hui@mail.shufe.edu.cn; Hao Zhang,Email:hao.zhang@ruc.edu.cn   
Issue Date: 05 June 2013
 Cite this article:   
Hui He,Hao Zhang. A Rapid Grid Search Method for Solving Dynamic Programming Problems in Economics[J]. Front Econ Chin, 2013, 8(2): 260-271.
 URL:  
http://journal.hep.com.cn/fec/EN/10.3868/s060-002-013-0013-4
http://journal.hep.com.cn/fec/EN/Y2013/V8/I2/260
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