Using Adaptive Sparse Grids to Solve High-Dimensional Dynamic Models

Details

Serval ID
serval:BIB_892174195BE1
Type
Article: article from journal or magazin.
Collection
Publications
Title
Using Adaptive Sparse Grids to Solve High-Dimensional Dynamic Models
Journal
Econometrica
Author(s)
Brumm J., Scheidegger S.
ISSN
0012-9682
Publication state
Published
Issued date
2017
Peer-reviewed
Oui
Volume
85
Number
5
Pages
1575-1612
Language
english
Abstract
We present a flexible and scalable method for computing global solutions of high‐dimensional stochastic dynamic models. Within a time iteration or value function iteration setup, we interpolate functions using an adaptive sparse grid algorithm. With increasing dimensions, sparse grids grow much more slowly than standard tensor product grids. Moreover, adaptivity adds a second layer of sparsity, as grid points are added only where they are most needed, for instance, in regions with steep gradients or at nondifferentiabilities. To further speed up the solution process, our implementation is fully hybrid parallel, combining distributed and shared memory parallelization paradigms, and thus permits an efficient use of high‐performance computing architectures. To demonstrate the broad applicability of our method, we solve two very different types of dynamic models: first, high‐dimensional international real business cycle models with capital adjustment costs and irreversible investment; second, multiproduct menu‐cost models with temporary sales and economies of scope in price setting.
Keywords
Adaptive sparse grids, high‐performance computing, international real business cycles, menu costs, occasionally binding constraints
Web of science
Create date
06/11/2018 9:29
Last modification date
20/08/2019 15:48
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