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Federal Reserve Bank of Dallas
Globalization Institute Working Papers
The market resources method for solving dynamic optimization problems
Ayse Kabukcuoglu
Enrique Martinez-Garcia
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.


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Ayse Kabukcuoglu & Enrique Martinez-Garcia, The market resources method for solving dynamic optimization problems, Federal Reserve Bank of Dallas, Globalization Institute Working Papers 274, 01 Jun 2016.
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DOI: 10.24149/gwp274
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