Maliar, L., and S. Maliar
Economic Letters – 120.2 (2013) 262–266
Keywords: Numerical dynamic programming,Value function iteration,Endogenous grid, Envelope condition, Curse of dimensionality, Large scale
Abstract: We introduce an envelope condition method (ECM) for solving dynamic programming problems. The ECM method is simple to implement, dominates conventional value function iteration and is comparable in accuracy and cost to Carroll’s (2005) endogenous grid method.