کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5098573 1478701 2014 32 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Smolyak method for solving dynamic economic models: Lagrange interpolation, anisotropic grid and adaptive domain
ترجمه فارسی عنوان
روش اسمولیک برای حل مدل های اقتصادی پویا: الگورنال تعبیه، شبکه ی غیر انحرافی و دامنه تطبیقی
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات کنترل و بهینه سازی
چکیده انگلیسی
We show how to enhance the performance of a Smolyak method for solving dynamic economic models. 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 that allow 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 argue that in large-scale economic applications, a solution algorithm based on Smolyak interpolation has substantially lower expense when it uses derivative-free fixed-point iteration instead of standard time iteration. In the context of one- and multi-agent optimal growth models, we find that the proposed modifications to the conventional Smolyak method lead to substantial increases in accuracy and speed.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 44, July 2014, Pages 92-123
نویسندگان
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