Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/103824
Authors: 
Hull, Isaiah
Year of Publication: 
2013
Series/Report no.: 
Sveriges Riksbank Working Paper Series 276
Abstract: 
I introduce and evaluate a new stochastic simulation method for dynamic economic models. It is based on recent work in the operations research and engineering literatures (Van Roy et. al, 1997; Powell, 2007; Bertsekas, 2011). The baseline method involves rewriting the household's dynamic program in terms of post-decision states. This makes it possible to choose controls optimally without computing an expectation. I add a subroutine to the original algorithm that updates the values of states not visited frequently on the simulation path; and adopt a stochastic stepsize that efficiently weights information. Finally, I modify the algorithm to exploit GPU computing.
Subjects: 
Numerical Solutions
Approximations
Heterogeneous Agents
Nonlinear Numerical Solutions
Dynamic Programming
JEL: 
C60
C61
C63
D52
Document Type: 
Working Paper

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