upper-envelope 0.1.4

Upper envelope scan for dynamic discrete-continuous life cycle models.

Upper Envelope Package

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:

• Extension of the Fast Upper-Envelope Scan (FUES) for solving discrete-continuous dynamic programming problems based on Dobrescu & Shanker (2022). Both jax and numba versions 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 jax and numba versions 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.

References

1. Dobrescu & Shanker (2022). Fast Upper-Envelope Scan for Discrete-Continuous Dynamic Programming.

2. Druedahl & Jørgensen (2017). A general endogenous grid method for multi-dimensional models with non-convexities and constraints. Journal of Economic Dynamics and Control

3. Iskhakov, Jørgensen, Rust, & Schjerning (2017). The Endogenous Grid Method for Discrete-Continuous Dynamic Choice Models with (or without) Taste Shocks. Quantitative Economics