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Autor:innen: 
Erscheinungsjahr: 
2013
Schriftenreihe/Nr.: 
Sveriges Riksbank Working Paper Series No. 276
Verlag: 
Sveriges Riksbank, Stockholm
Zusammenfassung: 
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.
Schlagwörter: 
Numerical Solutions
Approximations
Heterogeneous Agents
Nonlinear Numerical Solutions
Dynamic Programming
JEL: 
C60
C61
C63
D52
Dokumentart: 
Working Paper
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