全球智库信息集成服务系统(G2TT): A Simple but Powerful Simulated Certainty Equivalent Approximation Method for Dynamic Stochastic Problems

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w28502
来源ID	Working Paper 28502
	A Simple but Powerful Simulated Certainty Equivalent Approximation Method for Dynamic Stochastic Problems
	Yongyang Cai; Kenneth L. Judd
发表日期	2021-03-01
出版年	2021
语种	英语
摘要	We introduce a novel simulated certainty equivalent approximation (SCEQ) method for solving dynamic stochastic problems. Our examples show that this method only requires a desktop computer to solve high-dimensional finite- or infinite-horizon, stationary or nonstationary dynamic stochastic problems with hundreds of state variables, a wide state space, and occasionally binding constraints. The SCEQ method is simple, stable, and efficient, which makes it suitable for solving complex economic problems that cannot be solved by other algorithms.
主题	Microeconomics ; Mathematical Tools ; Macroeconomics ; Business Cycles ; Monetary Policy ; Environmental and Resource Economics ; Environment
URL	https://www.nber.org/papers/w28502
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/586174
推荐引用方式 GB/T 7714	Yongyang Cai,Kenneth L. Judd. A Simple but Powerful Simulated Certainty Equivalent Approximation Method for Dynamic Stochastic Problems. 2021.