Globalization Institute Working Paper
A Generalized Time Iteration Method for Solving Dynamic Optimization Problems with Occasionally Binding Constraints
No. 396
Abstract: We study a generalized version of Coleman (1990)’s time iteration method (GTI) for solving dynamic optimization problems. Our benchmark framework is an irreversible investment model with labor-leisure choice. The GTI algorithm is simple to implement and provides advantages in terms of speed relative to Howard (1960)’s improvement algorithm. A second application on a heterogeneous-agents incomplete-markets model further explores the performance of GTI.
DOI: https://doi.org/10.24149/gwp396
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