diff --git a/REMARKs/deep-learning-euler-method-krusell-smith.md b/REMARKs/deep-learning-euler-method-krusell-smith.md new file mode 100644 index 0000000..405bd5a --- /dev/null +++ b/REMARKs/deep-learning-euler-method-krusell-smith.md @@ -0,0 +1,76 @@ +--- +# CFF required fields +cff-version: 1.2.0 +title: "Deep learning for solving dynamic economic models" +message: >- + If you use this software, please cite it using the + metadata from this file. +type: software +authors: + - given-names: Lilia + family-names: Maliar + affiliation: >- + a The Graduate Center, City University of New York, + CEPR, and Hoover Institution, Stanford University + - given-names: Serguei + family-names: Maliar + affiliation: Santa Clara University + - given-names: Pablo + family-names: Winant + affiliation: ESCP Business School and CREST/Ecole Polytechnique +identifiers: + - type: doi + value: 10.1016/j.jmoneco.2021.07.004 +abstract: >- + We introduce a unified deep learning method that solves + dynamic economic models by casting them into nonlinear + regression equations. We derive such equations for three + fundamental objects of economic dynamics – lifetime reward + functions, Bellman equations and Euler equations. We + estimate the decision functions on simulated data using a + stochastic gradient descent method. We introduce an + all-in-one integration operator that facilitates + approximation of high-dimensional integrals. We use neural + networks to perform model reduction and to handle + multicollinearity. Our deep learning method is tractable + in large-scale problems, e.g., Krusell and Smith (1998). + We provide a TensorFlow code that accommodates a variety + of applications. +keywords: + - Artificial intelligence + - Machine learning + - Deep learning + - Neural network + - Stochastic gradient + - Dynamic models + - Model reduction + - Dynamic programming + - Bellman equation + - Euler equation + - Value function +references: + - type: article + authors: + - family-names: "Krusell" + given-names: "Per" + - family-names: "Smith, Jr." + given-names: "Anthony A." + title: "Income and Wealth Heterogeneity in the Macroeconomy" + doi: "10.1086/250034" + date-released: 1998-10-01 + publisher: + name: "Journal of Political Economy" + +# REMARK fields +remark-version: "v1.0.0" +remark-name: "DeepLearningKrusselSmith" +github_repo_url: https://github.com/marcmaliar/deep-learning-euler-method-krusell-smith/ +notebooks: + - code/python/Main_KS.ipynb +--- + +# Deep learning for solving dynamic economic models + +This notebook solves a version of Krusell and Smith's (1998) heterogenous-agent model with idiosyncrastic and aggregate shocks, incomplete markets and borrowing constraints. It uses a deep learning Euler-equation method introduced by Maliar, Maliar and Winant (2018) in the paper "Deep learning for solving dynamic economic models", Journal of Monetary Economics 122, pp 76-101. https://lmaliar.ws.gc.cuny.edu/files/2021/09/JME2021.pdf + +We show a version of the Euler equation method that minimizes the sum of squared residuals in the equilibrium conditions. See [https://deepecon.org](https://deepecon.org) for documentation, updates and the other versions of the deep learning method (Bellman equation and life-time reward).