A generalized endogenous grid method for discrete-continuous choice
John Rust; Bertel Schjerning; Fedor Iskhakov;
This paper extends Carroll's endogenous grid method (2006 "The method of endogenous gridpoints for solving dynamic stochastic optimization problems", Economic Letters) for models with sequential discrete and continuous choice. Unlike existing generalizations, we propose... View more
Andrew Clausen and Carlo Strub. Envelope theorems for non-smooth and non-concave optimization. Preliminary and incomplete, version of February 14, 2011.
Herbert Edelsbrunner, Leonidas Guibas, and Micha Sharir. The upper envelope of piecewise linear functions: Algorithms and applications. Discrete & Computational Geometry, 4:311-336, 1989. ISSN 0179-5376. URL http://dx.doi.org/10.1007/BF02187733. 10.1007/BF02187733.
Giulio Fella. A generalized endogenous grid method for non-concave problems. School of Economics and Finance, Queen Mary University of London Working Paper, N. 677, 2011.
János Pach and Micha Sharir. The upper envelope of piecewise linear functions and the boundary of a region enclosed by convex plates: Combinatorial analysis. Discrete & Computational Geometry, 4:291-309, 1989. ISSN 0179-5376. URL http://dx.doi.org/10.1007/BF02187732. 10.1007/BF02187732.
George Tauchen. Finite state markov-chain approximations vector autoregressions. Economics Letters, 20(2):177-181, http://ideas.repec.org/a/eee/ecolet/v20y1986i2p177-181.html.
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.