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Andrew Clausen and Carlo Strub. Envelope theorems for nonsmooth and nonconcave optimization. Preliminary and incomplete, version of February 14, 2011.
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Giulio Fella. A generalized endogenous grid method for nonconcave problems. School of Economics and Finance, Queen Mary University of London Working Paper, N. 677, 2011.
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1. Allow a0 = M . Calculate m(a0). If m(a0) M , set ba = a0, mb = m(a0) and proceed to next step, otherwise let a0 21 (a0 + A0) and repeat this step.
2. Set i = 0 ai = A0 and calculate m(ai).
3. Find ai such that the straight line through (ai; m(ai)) and (ba; mb) takes value M at ai.
4. Divide the interval (ai; ai) into n