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Fast Upper Envelope Scan (FUES)

Continuous Integration Workflow Codecov Black

Extension of the Fast Upper-Envelope Scan (FUES) for solving discrete-continuous dynamic programming problems based on Dobrescu & Shanker (2022). Both jax and numba versions are available.

References

  1. Iskhakov, Jorgensen, Rust, & Schjerning (2017). The Endogenous Grid Method for Discrete-Continuous Dynamic Choice Models with (or without) Taste Shocks. Quantitative Economics

  2. Loretti I. Dobrescu & Akshay Shanker (2022). Fast Upper-Envelope Scan for Discrete-Continuous Dynamic Programming.