EXAMPLES: Add Santos (1999) Section 7.3 stochastic growth example notebook with analytical benchmark solution#63
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Pull request overview
This PR adds a new example notebook implementing the multidimensional-state stochastic growth model with leisure from Santos (1999, Handbook of Macroeconomics), Section 7.3. The notebook demonstrates the use of ContinuousDPs.jl with an analytical benchmark solution for validation and includes comprehensive accuracy checks.
Changes:
- Adds
examples/cdp_ex_santos1999_s73_jl.ipynbimplementing Santos (1999) Section 7.3 stochastic growth model with leisure - Updates README.md to include link to the new notebook in the "Demo Notebooks" list
- Implements both VFI and PFI algorithms with multiple basis types (Chebyshev, Spline, Linear)
Reviewed changes
Copilot reviewed 1 out of 2 changed files in this pull request and generated 1 comment.
| File | Description |
|---|---|
| examples/cdp_ex_santos1999_s73_jl.ipynb | New example notebook with 2D state space model, analytical benchmark (delta=1 case), shock discretization via Gauss-Hermite quadrature, and comparisons using multiple interpolation methods |
| README.md | Adds link to new Santos (1999) Section 7.3 example notebook |
| " const_term = params.lambda * (log(1 - ab) + log(params.A) + (1 - params.alpha) * log(1 - l_star)) + (1 - params.lambda) * log(l_star) + params.beta * C * (log(ab) + log(params.A) + (1-params.alpha) * log(1 - l_star))\n", | ||
| " B = const_term / (1 - params.beta)\n", | ||
| "\n", | ||
| " # Policy function (consant fraction of production)\n", |
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Spelling error in comment: "consant" should be "constant"
Suggested change
| " # Policy function (consant fraction of production)\n", | |
| " # Policy function (constant fraction of production)\n", |
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Summary
This PR adds a new example notebook implementing the multidimensional-state stochastic growth model with leisure from Santos (1999, Handbook of Macroeconomics), Section 7.3, solved using
ContinuousDPs.jl.The notebook includes analytical benchmark for delta = 1 case and accuracy checks for the policy and value functions.
In addition, the README “Demo Notebooks” list is updated to include a link to the new notebook.
Motivation
Santos (1999) Sec. 7.3 provides a benchmark for continuous-state DP with:
This PR intends to provide a useful example for
ContinuousDPs.jl.Changes
Add
examples/cdp_ex_santos1999_s73_jl.ipynb:qnwnorm)BasisMatrices.jlfor interpolationUpdate README:
How to Run
Open the notebook and run all the cells. The notebook includes a short “How to run” section at the top.
References
Future Works
This PR focuses on Santos (1999) Section 7.3 (stochastic case). Follow-up PRs will:
Notes for Reviewers