TY  - BOOK
AU  - Cai,Yongyang
AU  - Judd,Kenneth L.
ED  - National Bureau of Economic Research.
TI  - A Simple but Powerful Simulated Certainty Equivalent Approximation Method for Dynamic Stochastic Problems
T2  - NBER working paper series
PY  - 2021///
CY  - Cambridge, Mass.
PB  - National Bureau of Economic Research
N1  - February 2021; Hardcopy version available to institutional subscribers
N2  - We introduce a novel simulated certainty equivalent approximation (SCEQ) method for solving dynamic stochastic problems. Our examples show that this method only requires a desktop computer to solve high-dimensional finite- or infinite-horizon, stationary or nonstationary dynamic stochastic problems with hundreds of state variables, a wide state space, and occasionally binding constraints. The SCEQ method is simple, stable, and efficient, which makes it suitable for solving complex economic problems that cannot be solved by other algorithms
UR  - https://www.nber.org/papers/w28502
UR  - http://dx.doi.org/10.3386/w28502
ER  -