Multi-grid methods for Hamilton-Jacobi-Bellman equations
Numerische Mathematik
Numerical methods for stochastic control problems in continuous time
Numerical methods for stochastic control problems in continuous time
Rigorous quantitative analysis of multigrid, I: constant coefficients two-level cycle with L2-norm
SIAM Journal on Numerical Analysis - Special issue: the articles in this issue are dedicated to Seymour V. Parter
On an Investment-Consumption Model With Transaction Costs
SIAM Journal on Control and Optimization
A multigrid tutorial: second edition
A multigrid tutorial: second edition
Multigrid
Handbook of Computational Economics
Handbook of Computational Economics
On Three-Grid Fourier Analysis for Multigrid
SIAM Journal on Scientific Computing
A Genetic Search for Optimal Multigrid Components Within a Fourier Analysis Setting
SIAM Journal on Scientific Computing
Multilevel Monte Carlo Path Simulation
Operations Research
Preface to the Special Issue on Computational Economics
Operations Research
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I present a self-contained introduction to multigrid methods with an emphasis on techniques relevant to dynamic programming and related problems. A probabilistic interpretation of the numerical principles is highlighted. Multigrid solvers are shown to be naturally matched to the challenges posed by intractable structural dynamic models routinely encountered in applied economics. I argue that multigrid techniques have potential to substantially extend the scale and complexity of models under consideration. Multigrid also provides a unified computational framework to extend model solvers to perform sensitivity analysis, calibration, estimation, and counterfactual policy experiments.