A simple but powerful simulated certainty equivalent approximation method for dynamic stochastic problems

Autor:	Yongyang Cai, Kenneth L. Judd
Rok vydání:	2023
Předmět:	Economics and Econometrics
Zdroj:	Quantitative Economics. 14:651-687
ISSN:	1759-7323
Popis:	We introduce a novel simulated certainty equivalent approximation (SCEQ) method for solving dynamic stochastic problems. Our examples show that SCEQ can quickly solve high‐dimensional finite‐ or infinite‐horizon, stationary or nonstationary dynamic stochastic problems with hundreds of state variables, a wide state space, and occasionally binding constraints. With the SCEQ method, a desktop computer will suffice for large problems, but it can also use parallel tools efficiently. The SCEQ method is simple, stable, and can utilize any solver, making it suitable for solving complex economic problems that cannot be solved by other algorithms.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b964598860bd2e0f67b56b89ded59c35 https://doi.org/10.3982/qe1835 Zobrazit plný text záznamu Plný text ve formátu PDF Plný text ve formátu HTML
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