This post will discuss various approaches to designing solvers for intertemporal optimization problems (in economics and hopefully other domains). Consider a fairly generic intertemporal optimization problem with 1-state variable and 1-control variable. [image] To make things precise, this post …

Some examples from the ecosystem: LinearSolve.jl solves equations Au=b for an unknown vector (of numbers) u when A\b isn’t good enough . prob = LinearProblem(A, b ; u0 = zero(b)) sol = solve(prob,alg) where alg is taken from the ecosystem. sol = solve(prob) uses the default solver sol = solve…

[image] Albert_Zevelev: sol = solve(prob) uses the default solver sol = solve(prob,IterativeSolversJL_GMRES()) No, that solver is not in the defaults. That’s a bad choice. [image] Albert_Zevelev: Can it integrate over more general sets? You’d have to manually parameterize them. […

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Non-DSLs for solving intertemporal optimization problems (not just for econ)

Specific Domains Finance and Economics

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Non-DSLs for solving intertemporal optimization problems (not just for econ)

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