A divide and conquer algorithm for exploiting policy function monotonicity

A divide and conquer algorithm for exploiting policy function monotonicity is proposed and analyzed. To solve a discrete problem with n states and n choices, the algorithm requires at most nlog2(n)+5n objective function evaluations. In contrast, existing methods for nonconcave problems require n2 ev...

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Bibliographic Details
Published in:	Quantitative economics Vol. 9; no. 2; pp. 521 - 540
Main Authors:	Gordon, Grey, Qiu, Shi
Format:	Journal Article
Language:	English
Published:	New Haven, CT The Econometric Society 01.07.2018 Blackwell Publishing Ltd John Wiley & Sons, Inc
Subjects:	Algorithms Business cycles C61 C63 Computation discrete choice Divide & conquer algorithms E32 Econometrics Economic models F34 Function grid search monotonicity Risk assessment sovereign default State Variables
ISSN:	1759-7331, 1759-7323, 1759-7331
Online Access:	Get full text
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