Policy iteration accelerated with Krylov methods

DOI10.1016/S0165-1889(00)00073-7zbMath1002.91052OpenAlexW2098995718WikidataQ127294094 ScholiaQ127294094MaRDI QIDQ5958353

Mico Mrkaic

Publication date: 3 March 2002

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1889(00)00073-7

zbMATH Keywords

linear equationslarge sparse systemsmultigrid algorithmstochastic growth model

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Economic growth models (91B62)

Related Items (1)

Solving finite difference schemes arising in trivariate option pricing.

Uses Software

• Sparse 1.3
• CGS

Cites Work

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• Projection methods for solving aggregate growth models
• The complexity of dynamic programming
• Krylov methods for solving models with forward-looking variables
• GMRES: A Generalized Minimal Residual Algorithm for Solving Nonsymmetric Linear Systems
• CGS, A Fast Lanczos-Type Solver for Nonsymmetric Linear systems
• Bi-CGSTAB: A Fast and Smoothly Converging Variant of Bi-CG for the Solution of Nonsymmetric Linear Systems
• SPLINE APPROXIMATIONS TO VALUE FUNCTIONS
• Iterative Solution Methods
• Methods of conjugate gradients for solving linear systems

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