A Rapid Grid Search Method for Solving Dynamic Programming Problems in Economics

Hui He; Hao Zhang

doi:10.3868/s060-002-013-0013-4

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Front. Econ. China ›› 2013, Vol. 8 ›› Issue (2) : 260-271. DOI: 10.3868/s060-002-013-0013-4

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A Rapid Grid Search Method for Solving Dynamic Programming Problems in Economics

Hui He¹ ,
Hao Zhang²

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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.

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dynamic programming / Bellman equation / grid search / concavity / searching efficiency

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Hui He, Hao Zhang. A Rapid Grid Search Method for Solving Dynamic Programming Problems in Economics. Front Econ Chin, 2013, 8(2): 260‒271 https://doi.org/10.3868/s060-002-013-0013-4