A simple but powerful simulated certainty equivalent approximation method for dynamic stochastic problems
We introduce a novel simulated certainty equivalent approximation (SCEQ) method for solving dynamic stochastic problems. Our examples show that SCEQ can quickly solve high-dimensional finite- or infinite-horizon, stationary or non- stationary dynamic stochastic problems with hundreds of state variab...
Gespeichert in:
| Veröffentlicht in: | Quantitative economics 2023-05, Vol.14 (2), p.651-687 |
|---|---|
| Hauptverfasser: | , |
| Format: | Artikel |
| Sprache: | eng |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| container_end_page | 687 |
|---|---|
| container_issue | 2 |
| container_start_page | 651 |
| container_title | Quantitative economics |
| container_volume | 14 |
| creator | Cai, Yongyang Kenneth, L. Judd |
| description | We introduce a novel simulated certainty equivalent approximation (SCEQ) method for solving dynamic stochastic problems. Our examples show that SCEQ can quickly solve high-dimensional finite- or infinite-horizon, stationary or non- stationary dynamic stochastic problems with hundreds of state variables, a wide state space, and occasionally binding constraints. With the SCEQ method, a desk- top computer will suffice for large problems, but it can also use parallel tools ef- ficiently. The SCEQ method is simple, stable, and can utilize any solver, making it suitable for solving complex economic problems that cannot be solved by other algorithms. |
| doi_str_mv | 10.3982/QE1835 |
| format | Article |
| fullrecord | <record><control><sourceid>proquest_cross</sourceid><recordid>TN_cdi_proquest_journals_2813958687</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><sourcerecordid>2813958687</sourcerecordid><originalsourceid>FETCH-LOGICAL-c4027-8040226370064d4e05314ab528e8f32dd1ccfe78cfb135347eff7342d55070553</originalsourceid><addsrcrecordid>eNp1kE9LxDAQxYsoKLp-AyEgeFtNMk2TPS7iPxBFcM8lm04w0jY1SdX99mapoB6cyxuGH-8xryiOGT2HheIXT1dMgdgpDpgUi7kEYLu_9v1iFuMrzQNKVZIdFG5JouuGFsl6TGTwHxjs2G5vY6sTNsRgSNr1aUPwbXTvusU-ET0MwX-6Tifne9JhevENsT6QZtPrzhkSkzcvOqa8ZnLdYhePij2r24izbz0sVtdXz5e38_vHm7vL5f3clJTLuaJZeAWS0qpsSqQCWKnXgitUFnjTMGMsSmXsmoGAUqK1EkreCEElFQIOi9PJNwe_jRhT_erH0OfImisGC6EqJTN1NlEm-BgD2noI-Z-wqRmtt03WU5MZJBOIxvcu_mBKcEEZAM_I-YR8uBY3_xjVT6vlA6f5xW34yR_PreTGQs0XFYCEL94hiCQ</addsrcrecordid><sourcetype>Aggregation Database</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype><pqid>2813958687</pqid></control><display><type>article</type><title>A simple but powerful simulated certainty equivalent approximation method for dynamic stochastic problems</title><source>DOAJ Directory of Open Access Journals</source><source>Elektronische Zeitschriftenbibliothek - Frei zugängliche E-Journals</source><source>EBSCOhost Business Source Complete</source><source>Access via Wiley Online Library</source><source>Wiley Free Content</source><source>Wiley Online Library Open Access</source><creator>Cai, Yongyang ; Kenneth, L. Judd</creator><creatorcontrib>Cai, Yongyang ; Kenneth, L. Judd</creatorcontrib><description>We introduce a novel simulated certainty equivalent approximation (SCEQ) method for solving dynamic stochastic problems. Our examples show that SCEQ can quickly solve high-dimensional finite- or infinite-horizon, stationary or non- stationary dynamic stochastic problems with hundreds of state variables, a wide state space, and occasionally binding constraints. With the SCEQ method, a desk- top computer will suffice for large problems, but it can also use parallel tools ef- ficiently. The SCEQ method is simple, stable, and can utilize any solver, making it suitable for solving complex economic problems that cannot be solved by other algorithms.</description><identifier>ISSN: 1759-7331</identifier><identifier>ISSN: 1759-7323</identifier><identifier>EISSN: 1759-7331</identifier><identifier>DOI: 10.3982/QE1835</identifier><language>eng</language><publisher>New Haven, CT: The Econometric Society</publisher><subject>Accuracy ; Approximation ; C61 ; C63 ; C68 ; competitive equilibrium ; Econometrics ; Economic models ; Economic problems ; integrated assessment model ; large- scale model ; Methods ; new Keynesian model ; nonstationary problem ; occasionally binding constraint ; parallelism ; Q54 ; Q58 ; Simulation ; Stochastic dynamic programming ; Stochastic models ; Variables ; zero lower bound</subject><ispartof>Quantitative economics, 2023-05, Vol.14 (2), p.651-687</ispartof><rights>Copyright © 2023 The Authors.</rights><rights>2023. This work is published under http://creativecommons.org/licenses/by-nc/4.0/ (the “License”). Notwithstanding the ProQuest Terms and Conditions, you may use this content in accordance with the terms of the License.</rights><lds50>peer_reviewed</lds50><oa>free_for_read</oa><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c4027-8040226370064d4e05314ab528e8f32dd1ccfe78cfb135347eff7342d55070553</citedby><cites>FETCH-LOGICAL-c4027-8040226370064d4e05314ab528e8f32dd1ccfe78cfb135347eff7342d55070553</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktopdf>$$Uhttps://onlinelibrary.wiley.com/doi/pdf/10.3982%2FQE1835$$EPDF$$P50$$Gwiley$$Hfree_for_read</linktopdf><linktohtml>$$Uhttps://onlinelibrary.wiley.com/doi/full/10.3982%2FQE1835$$EHTML$$P50$$Gwiley$$Hfree_for_read</linktohtml><link.rule.ids>314,780,784,864,1417,1433,11562,27924,27925,45574,45575,46052,46409,46476,46833</link.rule.ids></links><search><creatorcontrib>Cai, Yongyang</creatorcontrib><creatorcontrib>Kenneth, L. Judd</creatorcontrib><title>A simple but powerful simulated certainty equivalent approximation method for dynamic stochastic problems</title><title>Quantitative economics</title><description>We introduce a novel simulated certainty equivalent approximation (SCEQ) method for solving dynamic stochastic problems. Our examples show that SCEQ can quickly solve high-dimensional finite- or infinite-horizon, stationary or non- stationary dynamic stochastic problems with hundreds of state variables, a wide state space, and occasionally binding constraints. With the SCEQ method, a desk- top computer will suffice for large problems, but it can also use parallel tools ef- ficiently. The SCEQ method is simple, stable, and can utilize any solver, making it suitable for solving complex economic problems that cannot be solved by other algorithms.</description><subject>Accuracy</subject><subject>Approximation</subject><subject>C61</subject><subject>C63</subject><subject>C68</subject><subject>competitive equilibrium</subject><subject>Econometrics</subject><subject>Economic models</subject><subject>Economic problems</subject><subject>integrated assessment model</subject><subject>large- scale model</subject><subject>Methods</subject><subject>new Keynesian model</subject><subject>nonstationary problem</subject><subject>occasionally binding constraint</subject><subject>parallelism</subject><subject>Q54</subject><subject>Q58</subject><subject>Simulation</subject><subject>Stochastic dynamic programming</subject><subject>Stochastic models</subject><subject>Variables</subject><subject>zero lower bound</subject><issn>1759-7331</issn><issn>1759-7323</issn><issn>1759-7331</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2023</creationdate><recordtype>article</recordtype><sourceid>24P</sourceid><sourceid>WIN</sourceid><sourceid>ABUWG</sourceid><sourceid>AFKRA</sourceid><sourceid>AZQEC</sourceid><sourceid>BENPR</sourceid><sourceid>CCPQU</sourceid><sourceid>DWQXO</sourceid><recordid>eNp1kE9LxDAQxYsoKLp-AyEgeFtNMk2TPS7iPxBFcM8lm04w0jY1SdX99mapoB6cyxuGH-8xryiOGT2HheIXT1dMgdgpDpgUi7kEYLu_9v1iFuMrzQNKVZIdFG5JouuGFsl6TGTwHxjs2G5vY6sTNsRgSNr1aUPwbXTvusU-ET0MwX-6Tifne9JhevENsT6QZtPrzhkSkzcvOqa8ZnLdYhePij2r24izbz0sVtdXz5e38_vHm7vL5f3clJTLuaJZeAWS0qpsSqQCWKnXgitUFnjTMGMsSmXsmoGAUqK1EkreCEElFQIOi9PJNwe_jRhT_erH0OfImisGC6EqJTN1NlEm-BgD2noI-Z-wqRmtt03WU5MZJBOIxvcu_mBKcEEZAM_I-YR8uBY3_xjVT6vlA6f5xW34yR_PreTGQs0XFYCEL94hiCQ</recordid><startdate>202305</startdate><enddate>202305</enddate><creator>Cai, Yongyang</creator><creator>Kenneth, L. Judd</creator><general>The Econometric Society</general><general>John Wiley & Sons, Inc</general><scope>OT2</scope><scope>24P</scope><scope>WIN</scope><scope>OQ6</scope><scope>AAYXX</scope><scope>CITATION</scope><scope>3V.</scope><scope>7WY</scope><scope>7WZ</scope><scope>7XB</scope><scope>87Z</scope><scope>8BJ</scope><scope>8FK</scope><scope>8FL</scope><scope>ABUWG</scope><scope>AFKRA</scope><scope>AZQEC</scope><scope>BENPR</scope><scope>BEZIV</scope><scope>CCPQU</scope><scope>DWQXO</scope><scope>FQK</scope><scope>FRNLG</scope><scope>F~G</scope><scope>JBE</scope><scope>K60</scope><scope>K6~</scope><scope>L.-</scope><scope>M0C</scope><scope>PIMPY</scope><scope>PQBIZ</scope><scope>PQBZA</scope><scope>PQEST</scope><scope>PQQKQ</scope><scope>PQUKI</scope><scope>Q9U</scope></search><sort><creationdate>202305</creationdate><title>A simple but powerful simulated certainty equivalent approximation method for dynamic stochastic problems</title><author>Cai, Yongyang ; Kenneth, L. Judd</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c4027-8040226370064d4e05314ab528e8f32dd1ccfe78cfb135347eff7342d55070553</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2023</creationdate><topic>Accuracy</topic><topic>Approximation</topic><topic>C61</topic><topic>C63</topic><topic>C68</topic><topic>competitive equilibrium</topic><topic>Econometrics</topic><topic>Economic models</topic><topic>Economic problems</topic><topic>integrated assessment model</topic><topic>large- scale model</topic><topic>Methods</topic><topic>new Keynesian model</topic><topic>nonstationary problem</topic><topic>occasionally binding constraint</topic><topic>parallelism</topic><topic>Q54</topic><topic>Q58</topic><topic>Simulation</topic><topic>Stochastic dynamic programming</topic><topic>Stochastic models</topic><topic>Variables</topic><topic>zero lower bound</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Cai, Yongyang</creatorcontrib><creatorcontrib>Kenneth, L. Judd</creatorcontrib><collection>EconStor</collection><collection>Wiley Online Library Open Access</collection><collection>Wiley Free Content</collection><collection>ECONIS</collection><collection>CrossRef</collection><collection>ProQuest Central (Corporate)</collection><collection>Access via ABI/INFORM (ProQuest)</collection><collection>ABI/INFORM Global (PDF only)</collection><collection>ProQuest Central (purchase pre-March 2016)</collection><collection>ABI/INFORM Global (Alumni Edition)</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>ProQuest Central (Alumni) (purchase pre-March 2016)</collection><collection>ABI/INFORM Collection (Alumni Edition)</collection><collection>ProQuest Central (Alumni Edition)</collection><collection>ProQuest Central UK/Ireland</collection><collection>ProQuest Central Essentials</collection><collection>ProQuest Central</collection><collection>Business Premium Collection</collection><collection>ProQuest One Community College</collection><collection>ProQuest Central Korea</collection><collection>International Bibliography of the Social Sciences</collection><collection>Business Premium Collection (Alumni)</collection><collection>ABI/INFORM Global (Corporate)</collection><collection>International Bibliography of the Social Sciences</collection><collection>ProQuest Business Collection (Alumni Edition)</collection><collection>ProQuest Business Collection</collection><collection>ABI/INFORM Professional Advanced</collection><collection>ABI/INFORM Global</collection><collection>Publicly Available Content Database</collection><collection>ProQuest One Business</collection><collection>ProQuest One Business (Alumni)</collection><collection>ProQuest One Academic Eastern Edition (DO NOT USE)</collection><collection>ProQuest One Academic</collection><collection>ProQuest One Academic UKI Edition</collection><collection>ProQuest Central Basic</collection><jtitle>Quantitative economics</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Cai, Yongyang</au><au>Kenneth, L. Judd</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>A simple but powerful simulated certainty equivalent approximation method for dynamic stochastic problems</atitle><jtitle>Quantitative economics</jtitle><date>2023-05</date><risdate>2023</risdate><volume>14</volume><issue>2</issue><spage>651</spage><epage>687</epage><pages>651-687</pages><issn>1759-7331</issn><issn>1759-7323</issn><eissn>1759-7331</eissn><abstract>We introduce a novel simulated certainty equivalent approximation (SCEQ) method for solving dynamic stochastic problems. Our examples show that SCEQ can quickly solve high-dimensional finite- or infinite-horizon, stationary or non- stationary dynamic stochastic problems with hundreds of state variables, a wide state space, and occasionally binding constraints. With the SCEQ method, a desk- top computer will suffice for large problems, but it can also use parallel tools ef- ficiently. The SCEQ method is simple, stable, and can utilize any solver, making it suitable for solving complex economic problems that cannot be solved by other algorithms.</abstract><cop>New Haven, CT</cop><pub>The Econometric Society</pub><doi>10.3982/QE1835</doi><tpages>37</tpages><oa>free_for_read</oa></addata></record> |
| fulltext | fulltext |
| identifier | ISSN: 1759-7331 |
| ispartof | Quantitative economics, 2023-05, Vol.14 (2), p.651-687 |
| issn | 1759-7331 1759-7323 1759-7331 |
| language | eng |
| recordid | cdi_proquest_journals_2813958687 |
| source | DOAJ Directory of Open Access Journals; Elektronische Zeitschriftenbibliothek - Frei zugängliche E-Journals; EBSCOhost Business Source Complete; Access via Wiley Online Library; Wiley Free Content; Wiley Online Library Open Access |
| subjects | Accuracy Approximation C61 C63 C68 competitive equilibrium Econometrics Economic models Economic problems integrated assessment model large- scale model Methods new Keynesian model nonstationary problem occasionally binding constraint parallelism Q54 Q58 Simulation Stochastic dynamic programming Stochastic models Variables zero lower bound |
| title | A simple but powerful simulated certainty equivalent approximation method for dynamic stochastic problems |
| url | https://sfx.bib-bvb.de/sfx_tum?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2025-01-01T18%3A57%3A35IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-proquest_cross&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=A%20simple%20but%20powerful%20simulated%20certainty%20equivalent%20approximation%20method%20for%20dynamic%20stochastic%20problems&rft.jtitle=Quantitative%20economics&rft.au=Cai,%20Yongyang&rft.date=2023-05&rft.volume=14&rft.issue=2&rft.spage=651&rft.epage=687&rft.pages=651-687&rft.issn=1759-7331&rft.eissn=1759-7331&rft_id=info:doi/10.3982/QE1835&rft_dat=%3Cproquest_cross%3E2813958687%3C/proquest_cross%3E%3Curl%3E%3C/url%3E&disable_directlink=true&sfx.directlink=off&sfx.report_link=0&rft_id=info:oai/&rft_pqid=2813958687&rft_id=info:pmid/&rfr_iscdi=true |