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A Method to Pre-compile Numerical Integrals When Solving Stochastic Dynamic Problems

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  • Karolos Arapakis

    (University College London)

Abstract

We show how the interpolation step of numerical integration can be pre-compiled in partial equilibrium stochastic dynamic problems. We display the pre-compilation’s sufficient conditions and document its speed gains using a consumption-savings model with a discrete labour choice, wage uncertainty and stochastic non-labour income.

Suggested Citation

  • Karolos Arapakis, 2023. "A Method to Pre-compile Numerical Integrals When Solving Stochastic Dynamic Problems," Computational Economics, Springer;Society for Computational Economics, vol. 61(2), pages 593-610, February.
    • Handle: RePEc:kap:compec:v:61:y:2023:i:2:d:10.1007_s10614-021-10221-7
    DOI: 10.1007/s10614-021-10221-7
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