Beyond curse of dimensionality with transition matrix

After calculating the following values:

from j=1 to n

where is one of the column vectors calculated by (P*v’)’ for each dimension, we can

implement speed-up algorithms in the same way as before.

opt=0 nothing added

opt=1 error bounds

opt=2 policy iterations by direct inversion

opt=3 error bounds and policy iteration

opt=4 modified policy iteration

opt=5 error bounds and modified policy iteration

We also implement collocation method but it takes up lots of memory.

We have to keep (dim x n) x sorder in addition. When sorder is high such as sorder=9,

We can only some hundreds of n in GAUSS Light.