EGMⁿ: The Sequential Endogenous Grid Method

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Abstract

This paper presents a novel, efficient method for solving heterogeneous agent models with multiple decisions, a class of problems often addressed with computationally expensive grid search methods. The proposed approach leverages an extension of the Endogenous Grid Method (EGM) incorporating Gaussian Process Regression (GPR) to interpolate functions on unstructured grids.

Citation

Lujan, Alan. 2023. “EGMⁿ: The Sequential Endogenous Grid Method.” https://alanlujan91.github.io/SequentialEGM/.

Funding

Supported by Alfred P. Sloan Foundation through Grant No. G-2017-9832.

Award

Graduate Student Paper Award, Society for Computational Economics, 2023.