@techreport{Fella2011generalized,
abstract = {This paper extends Carroll's (2006) endogenous grid method and its combination with value function iteration by Barillas and Fern\'{a}ndez-Villaverde (2007) to non-concave problems. The method is illustrated using a consumer problem in which consumers choose both durable and non-durable consumption. The durable choice is discrete and subject to non-convex adjustment costs. The algorithm yields substantial gains in accuracy and computational time relative to value function iteration, the standard solution choice for non-concave problems.},
address = {London},
author = {Giulio Fella},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {C63; 330; endogenous grid method; non-concavity; Konsumentenverhalten; Dauerhaftes Konsumgut; Theorie},
language = {eng},
number = {677},
publisher = {Queen Mary, Univ. of London, School of Economics and Finance},
title = {A generalized endogenous grid method for non-concave problems},
type = {Working Paper // School of Economics and Finance, Queen Mary, University of London},
url = {http://hdl.handle.net/10419/55173},
year = {2011}
}
