This package collects several HPC implementations of upper-envelopes used to correct the value and policy functions in discrete-continuous dynamic programming problems.
The following implementations are available:
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Extension of the Fast Upper-Envelope Scan (FUES) for solving discrete-continuous dynamic programming problems based on Dobrescu & Shanker (2022). Both
jaxandnumbaversions are available. We provide the original version without endogenous jump detection. -
Line segment interpolation and selection of the upper envelope based on Druedahl & Jorgensen (2017). Both
jaxandnumbaversions are available. -
Also contained for test reasons is the original upper-envelope implementation from Iskhakov et al. (2017). It is not optimized and can not yet be imported when installing the package.
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Dobrescu & Shanker (2022). Fast Upper-Envelope Scan for Discrete-Continuous Dynamic Programming.
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Druedahl & Jørgensen (2017). A general endogenous grid method for multi-dimensional models with non-convexities and constraints. Journal of Economic Dynamics and Control
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Iskhakov, Jørgensen, Rust, & Schjerning (2017). The Endogenous Grid Method for Discrete-Continuous Dynamic Choice Models with (or without) Taste Shocks. Quantitative Economics