Penn State 2013

Ken Judd Penn State Numerical Methods course

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Return to Ken Judd’s Penn State Numerical Methods Course Home Page

Penn State 2013 – Numerical Methods by Ken Judd


April 1, 2, and 3: These lectures will begin with the GSSA paper and end with the EDS paper. You can find Matlab codes for GSSA at

April 4 and 5: These lectures will go through step-by-step how I am currently setting up a model of R&D. I will discuss the pros and cons of alternatives, calibration, and possible numerical methods. The IER paper attached below is a simple example of what I will be doing. The QE paper is also related since it uses the same dynamic structure.

Relevant Papers

DAG: Directed Acyclic Graphs

DAG is a general way to describe workflows. WaveFront is very useful workflow in dynamic economics; my Thursday and Friday lectures will present work that can exploit WaveFront. It is perfect for massive parallel architectures. See attached paper for a discussion of the computer science involved in this.

Other Topics

Students have asked various questions on numerical topics. I have made some pages to respond to those questions


Attached is a recent paper by Thomas Mertens and me on perturbation methods in economies with large numbers of symmetric agents

Perturbation Methods

Valentina Michaelangeli wrote a very nice thesis which combines MPEC with life-cycle style dynamic programming. Attached are copies of the working paper, appendices, and the final published paper.