Note: This is a pre-release version of the package. While the core features are in place, the interface and functionality may still evolve. Feedback and contributions are welcome.
dcegm is a Python package for solving and simulating finite-horizon stochastic
discrete-continuous dynamic choice models using the DC-EGM algorithm from Iskhakov,
Jørgensen, Rust, and Schjerning (QE, 2017).
The solution algorithm employs an extension of the Fast Upper-Envelope Scan (FUES) from Dobrescu & Shanker (2022).
You can install dcegm via PyPI or directly from GitHub. In your terminal, run:
$ pip install dcegmTo install the latest development version directly from the GitHub repository, run:
$ pip install git+https://github.com/OpenSourceEconomics/dcegm.gitThe documentation is hosted at https://dcegm.readthedocs.io
- Christopher D. Carroll (2006). The method of endogenous gridpoints for solving dynamic stochastic optimization problems. Economics Letters
- Iskhakov, Jorgensen, Rust, & Schjerning (2017). The Endogenous Grid Method for Discrete-Continuous Dynamic Choice Models with (or without) Taste Shocks. Quantitative Economics
- Loretti I. Dobrescu & Akshay Shanker (2022). Fast Upper-Envelope Scan for Discrete-Continuous Dynamic Programming.