Accuracy, Speed and Robustness of Policy Function Iteration-策略函数迭代的准确性、速度和鲁棒性

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英文文献：Accuracy, Speed and Robustness of Policy Function Iteration-策略函数迭代的准确性、速度和鲁棒性
英文文献作者：Todd B. Walker,Alexander W. Richter,Nathaniel A. Throckmorton
英文文献摘要：
Policy function iteration methods for solving and analyzing dynamic stochastic general equilibrium models are powerful from a theoretical and computational perspective. Despite obvious theoretical appeal, significant startup costs and a reliance on grid-based methods have limited the use of policy function iteration as a solution algorithm. We reduce these costs by providing a user-friendly suite of MATLAB functions that introduce multi-core processing and Fortran via MATLAB's executable function. Within the class of policy function iteration methods, we advocate using time iteration with linear interpolation. We examine a canonical real business cycle model and a new Keynesian model that features regime switching in policy parameters, Epstein-Zin preferences, and monetary policy that occasionally hits the zero-lower bound on the nominal interest rate to highlight the attractiveness of our methodology. We compare our advocated approach to other familiar iteration and approximation methods, highlighting the tradeoffs between accuracy, speed and robustness.

政策函数迭代法是求解和分析动态随机一般均衡模型的强有力的理论和计算视角。尽管具有明显的理论吸引力，但高昂的启动成本和对基于网格的方法的依赖限制了策略函数迭代作为一种求解算法的使用。我们通过提供一套用户友好的MATLAB函数来降低这些成本，通过MATLAB的可执行函数来介绍多核处理和Fortran。在策略函数迭代方法中，我们提倡使用线性插值的时间迭代方法。我们考察了一个典型的真实商业周期模型和一个新凯恩斯模型，该模型以政策参数的制度转换、爱普斯坦-辛偏好和偶尔触及名义利率下限的货币政策为特征，以强调我们的方法的吸引力。我们将我们提倡的方法与其他熟悉的迭代和近似方法进行比较，强调准确性、速度和鲁棒性之间的权衡。

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