Using Adaptive Sparse Grids to Solve High-Dimensional Dynamic Models ∗

@inproceedings{Brumm2013UsingAS,
  title={Using Adaptive Sparse Grids to Solve High-Dimensional Dynamic Models ∗},
  author={Johannes Brumm and Simon Scheidegger},
  year={2013}
}
We present a flexible and scalable method to compute global solutions of high-dimensional stochastic dynamic models. Within a time-iteration setup, we interpolate policy functions using an adaptive sparse grid algorithm with piecewise multi-linear (hierarchical) basis functions. As the dimensionality increases, sparse grids grow considerably slower than standard tensor product grids. In addition, the grid scheme we use is automatically refined locally and can thus capture steep gradients or… CONTINUE READING
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