Fedor Iskhakov edited this page Jan 25, 2014 · 4 revisions

What this code is for: Generic and simple to use Matlab code for solving finite horizon discrete time optimal control problems with one continuous and one discrete control.

In essence: endogenous grid point method (eg) + additional discrete decisions (d) + additional state variables (st)

Typical application in economics: finite horizon lifecycle models with discrete and continuous choice

How to reference: Iskhakov, Rust, Schjerning "A generalized endogenous grid method for discrete-continuous choice"

Corresponding author: Fedor Iskhakov http://fedor.iskh.ru

Please, let me know if you are using this code!


Before using the code make sure you can compile C code with mex command in Matlab

Some technical details:

Implements a class in Matlab which offers an easy to use model specification language. Methods of the class allow for solution of the model, simulation from the model and graphical representation of the results.

Main computing tasks are implemented in C code, and the class provides a translator from the internal model definition language to C, enabling you to solve the model and simulate from it with great speed.

Run help egdstmodel for complete description.

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