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This repository was archived by the owner on Jun 10, 2020. It is now read-only.
Modifying the code, a key difference will be that do not solve the sparse system of equations for the V_stacked and then reshape to V. Instead, the "solution" of that system should be implicit in the calculation of the residual.
Getting it to auto-differentiate may take some care, as I am not sure if reshape, spdiags, etc. directly support AD without some work. You can use loops instead as required to setup the equations.
The text was updated successfully, but these errors were encountered:
Implement the #2 function. This will involve modification of http://www.princeton.edu/~moll/HACTproject/HJB_diffusion_implicit_RBC.m and http://www.princeton.edu/~moll/HACTproject/HJB_no_uncertainty_implicit.m
A few things:
The text was updated successfully, but these errors were encountered: