Smolyak Method for Solving Dynamic Economic Models: Lagrange Interpolation, Anisotropic Grid and Adaptive Domain / Kenneth L. Judd, Lilia Maliar, Serguei Maliar, Rafael Valero.

Format:

Book

Author/Creator:

Judd, Kenneth L.

Contributor:

National Bureau of Economic Research.

Maliar, Lilia.

Maliar, Serguei.

Valero, Rafael.

Series:

Working Paper Series (National Bureau of Economic Research) no. w19326.

NBER working paper series no. w19326

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Other Title:

Smolyak Method for Solving Dynamic Economic Models

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2013.

Summary:

First, we propose a more efficient implementation of the Smolyak method for interpolation, namely, we show how to avoid costly evaluations of repeated basis functions in the conventional Smolyak formula. Second, we extend the Smolyak method to include anisotropic constructions; this allows us to target higher quality of approximation in some dimensions than in others. Third, we show how to effectively adapt the Smolyak hypercube to a solution domain of a given economic model. Finally, we advocate the use of low-cost fixed-point iteration, instead of conventional time iteration. In the context of one- and multi-agent growth models, we find that the proposed techniques lead to substantial increases in accuracy and speed of a Smolyak-based projection method for solving dynamic economic models.

Notes:

Print version record

August 2013.