On Approximating the Gradient of the Value Function

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dc.contributor.author Dmitriev, Alexander en
dc.date.accessioned 2019-06-14T02:27:54Z en
dc.date.issued 2019-02 en
dc.identifier.citation Theoretical Economics Letters 9(1):126-138 Feb 2019 en
dc.identifier.issn 2162-2078 en
dc.identifier.uri http://hdl.handle.net/2292/47060 en
dc.description.abstract The optimality conditions for macroeconomic problems with limited commitment often contain partial derivatives of the optimal value function, corresponding to the outside option. This paper contributes to the literature on recursive contracts by proposing an algorithm for approximating the gradient of the value function using simulation-based methods. Our method combines numerical solution and simulation of the model, Monte-Carlo integration and numerical differentiation. It does not suffer from the curse of dimensionality and is therefore convenient for models involving many state variables. The algorithm inherits the speed and accuracy limitations of the numerical solution method it relies on. Our accuracy analysis is limited to a few classical examples from macroeconomic literature. en
dc.publisher Scientific Research Publishing en
dc.relation.ispartofseries Theoretical Economics Letters en
dc.rights Items in ResearchSpace are protected by copyright, with all rights reserved, unless otherwise indicated. Previously published items are made available in accordance with the copyright policy of the publisher. en
dc.rights.uri https://researchspace.auckland.ac.nz/docs/uoa-docs/rights.htm en
dc.title On Approximating the Gradient of the Value Function en
dc.type Journal Article en
dc.identifier.doi 10.4236/tel.2019.91011 en
pubs.issue 1 en
pubs.begin-page 126 en
pubs.volume 9 en
dc.rights.holder Copyright: The authors and Scientific Research Publishing Inc. en
pubs.end-page 138 en
dc.rights.accessrights http://purl.org/eprint/accessRights/OpenAccess en
pubs.subtype Article en
pubs.elements-id 769497 en
pubs.org-id Business and Economics en
pubs.org-id Economics en
pubs.record-created-at-source-date 2019-04-30 en


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