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Title:A generalized endogenous grid method for non-concave problems PDF Logo
Authors:Fella, Giulio
Issue Date:2011
Series/Report no.:Working Paper // School of Economics and Finance, Queen Mary, University of London 677
Abstract:This paper extends Carroll's (2006) endogenous grid method and its combination with value function iteration by Barillas and Fernández-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.
Subjects:endogenous grid method
non-concavity
JEL:C63
Document Type:Working Paper
Appears in Collections:Working Paper Series, School of Economics and Finance, Queen Mary, University of London

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