Multigrid Techniques in Economics

• 成果类型: Article
• 署名作者: Speight, Adam
• 署名单位: University of Chicago
• 刊物名称: OPERATIONS RESEARCH
• ISSN/ISSBN: 0030-364X
• DOI: 10.1287/opre.1100.0834
• 发表日期: 2010
• 页码: 1057-1078
• 关键词: fourier-analysis; MODEL

摘要

I present a self-contained introduction to multigrid methods with an emphasis on techniques relevant to dynamic programming and related problems. A probabilistic interpretation of the numerical principles is highlighted. Multigrid solvers are shown to be naturally matched to the challenges posed by intractable structural dynamic models routinely encountered in applied economics. I argue that multigrid techniques have potential to substantially extend the scale and complexity of models under consideration. Multigrid also provides a unified computational framework to extend model solvers to perform sensitivity analysis, calibration, estimation, and counterfactual policy experiments.