A Toolkit for Value Function Iteration

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• 作者：Robert Kirkby
• 关键词：Value Function Iteration ; Matlab Toolkit ; GPU ; Discretization ; Replication
• 刊名：Computational Economics
• 出版年：2017
• 出版时间：January 2017
• 年：2017
• 卷：49
• 期：1
• 页码：1-15
• 全文大小：
• 刊物类别：Business and Economics
• 刊物主题：Economic Theory/Quantitative Economics/Mathematical Methods; Computer Appl. in Social and Behavioral Sciences; Operation Research/Decision Theory; Behavioral/Experimental Economics; Math Applications
• 出版者：Springer US
• ISSN：1572-9974
• 卷排序：49

文摘

This article introduces a Toolkit for Value Function Iteration. The toolkit is implemented in Matlab and makes automatic use of the GPU and of parallel CPUs. Likely uses are Teaching, Testing Algorithms, Replication, and Research. I here provide a description of some of the main components and algorithms. I also describe the design philosophy underlying choices about how to structure the toolkit and which algorithms to use. Rather than provide simple examples, something best done online (links are given), I instead perform a replication of a classic paper from the real business cycle literature as a demonstration of the use of such a toolkit. The Toolkit, Documentation, Examples, Replications, and more can be found at vfitoolkit.com