{"id":10613,"date":"2013-09-30T23:29:32","date_gmt":"2013-09-30T20:29:32","guid":{"rendered":"http:\/\/hgpu.org\/?p=10613"},"modified":"2013-09-30T23:29:32","modified_gmt":"2013-09-30T20:29:32","slug":"approximate-dynamic-programming-with-post-decision-states-as-a-solution-method-for-dynamic-economic-models","status":"publish","type":"post","link":"https:\/\/hgpu.org\/?p=10613","title":{"rendered":"Approximate dynamic programming with post-decision states as a solution method for dynamic economic models"},"content":{"rendered":"<p>I introduce and evaluate a new stochastic simulation method for dynamic economic models. It is based on recent work in the operations research and engineering literatures (Van Roy et. al, 1997; Powell, 2007; Bertsekas, 2011). The baseline method involves rewriting the household&#8217;s dynamic program in terms of post-decision states. This makes it possible to choose controls optimally without computing an expectation. I add a subroutine to the original algorithm that updates the values of states not visited frequently on the simulation path; and adopt a stochastic stepsize that efficiently weights information. Finally, I modify the algorithm to exploit GPU computing.<\/p>\n","protected":false},"excerpt":{"rendered":"<p>I introduce and evaluate a new stochastic simulation method for dynamic economic models. It is based on recent work in the operations research and engineering literatures (Van Roy et. al, 1997; Powell, 2007; Bertsekas, 2011). The baseline method involves rewriting the household&#8217;s dynamic program in terms of post-decision states. This makes it possible to choose [&hellip;]<\/p>\n","protected":false},"author":351,"featured_media":0,"comment_status":"open","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"_jetpack_memberships_contains_paid_content":false,"footnotes":"","jetpack_publicize_message":"","jetpack_publicize_feature_enabled":true,"jetpack_social_post_already_shared":true,"jetpack_social_options":{"image_generator_settings":{"template":"highway","default_image_id":0,"font":"","enabled":false},"version":2}},"categories":[36,89,576,3],"tags":[1787,14,1804,20,1089,861],"class_list":["post-10613","post","type-post","status-publish","format-standard","hentry","category-algorithms","category-nvidia-cuda","category-finance","category-paper","tag-algorithms","tag-cuda","tag-finance","tag-nvidia","tag-nvidia-geforce-gtx-560-ti","tag-stochastic-simulation"],"views":3013,"jetpack_publicize_connections":[],"jetpack_featured_media_url":"","jetpack_sharing_enabled":true,"_links":{"self":[{"href":"https:\/\/hgpu.org\/index.php?rest_route=\/wp\/v2\/posts\/10613","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/hgpu.org\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/hgpu.org\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/hgpu.org\/index.php?rest_route=\/wp\/v2\/users\/351"}],"replies":[{"embeddable":true,"href":"https:\/\/hgpu.org\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=10613"}],"version-history":[{"count":0,"href":"https:\/\/hgpu.org\/index.php?rest_route=\/wp\/v2\/posts\/10613\/revisions"}],"wp:attachment":[{"href":"https:\/\/hgpu.org\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=10613"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/hgpu.org\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=10613"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/hgpu.org\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=10613"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}