Value Function Iteration as a Solution Method for the Ramsey Model

Burkhard Heer and Alfred Maussner ()

No 2278, CESifo Working Paper Series from CESifo

Abstract: Value function iteration is one of the standard tools for the solution of the Ramsey model. We compare six different ways of value function iteration with regard to speed and precision. We find that value function iteration with cubic spline interpolation between grid points dominates the other methods in most cases. For the initialization of the value function over a fine grid, modified policy function iteration over a coarse grid and subsequent linear interpolation between the grid points provides a very efficient way to reduce computational time.

Keywords: value function iteration; policy function iteration; Howard's algorithm; acceleration; cubic interpolation; stochastic Ramsey model (search for similar items in EconPapers)
JEL-codes: C63 C68 E32 (search for similar items in EconPapers)
Date: 2008
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Journal Article: Value Function Iteration as a Solution Method for the Ramsey Model (2011)
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