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Faster location of interpolating nodes for ordered arrays
Fortran
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LICENSE.md
README.md
mod_int_node.f90
mod_integm_node.f90

README.md

Interpolation for ordered arrays in Fortran

This repository contains subroutines to find the index of the right interpolating node for each data point in an ordered array. It speeds up computation by exploiting the ordering of both the array of interpolating nodes and of the array of data points.

Contains

  • mod_int_node for standard interpolation
  • mod_integm_node for interpolation in economic models with occasionally binding borrowing constraints when the first element of the array of interpolating nodes coincides with the lower bound on assets (as, e.g., in Carroll [2006. "The method of endogenous gridpoints for solving dynamic stochastic optimization problems," Economics Letters 91]). The code returns index 0 to flag data points for which the borrowing constraint is binding and the solution can be computed analytically.
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