A Generalized Time Iteration Method for Solving Dynamic Optimization Problems with Occasionally Binding Constraints

We study a generalized version of Coleman (1990)’s time iteration method (GTI) for solving dynamic optimization problems. Our benchmark framework is an irreversible investment model with labor-leisure choice. The GTI algorithm is simple to implement and provides advantages in terms of speed relative to Howard (1960)’s improvement algorithm. A second application on a heterogeneous-agents incomplete-markets model further explores the performance of GTI

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Year of publication:	[2022]
Authors:	Kabukcuoglu, Ayse ; Martínez-García, Enrique
Publisher:	[S.l.] : SSRN
Subject:	Theorie \| Theory \| Mathematische Optimierung \| Mathematical programming \| Dynamische Optimierung \| Dynamic programming

Extent:	1 Online-Ressource (28 p)
Series:	Globalization Institute Working Paper ; No. 396
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August, 2020 erstellt
Classification:	C6 - Mathematical Methods and Programming ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; C63 - Computational Techniques ; C68 - Computable General Equilibrium Models
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013308885