Working Paper

The market resources method for solving dynamic optimization problems


Abstract: We introduce the market resources method (MRM) for solving dynamic optimization problems. MRM extends Carroll?s (2006) endogenous grid point method (EGM) for problems with more than one control variable using policy function iteration. The MRM algorithm is simple to implement and provides advantages in terms of speed and accuracy over Howard?s policy improvement algorithm. Codes are available.

JEL Classification: C6; C61; C63; C68;

https://doi.org/10.24149/gwp274

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Bibliographic Information

Provider: Federal Reserve Bank of Dallas

Part of Series: Globalization Institute Working Papers

Publication Date: 2016-06-01

Number: 274

Pages: 14 pages