We introduce a computational technique- precomputation of integrals - that makes it possible to construct conditional expectation functions in dynamic stochastic models in the initial stage of a solution procedure. This technique is very general: it works for a broad class of approximating...

We introduce a computational technique- precomputation of integrals - that makes it possible to construct conditional expectation functions in dynamic stochastic models in the initial stage of a solution procedure. This technique is very general: it works for a broad class of approximating...

A divide-and-conquer algorithm for exploiting policy function monotonicity is proposed and analyzed. To compute a discrete problem with n states and n choices, the algorithm requires at most 5n + log2(n)n function evaluations and so is O(n log2 n). In contrast, existing methods for non-concave...

A recursive method for solving an integrated assessment model of climate and the economy is developed in this paper. The method approximates value function with a logarithmic basis function and searches for solutions on a set satisfying optimality conditions. These features make the method...