Fast upper envelope scan for discrete-continuous optimization
// readme
Fast Upper-Envelope Scan (FUES)
FUES recovers the upper envelope of the EGM (Carroll 2006) value correspondence in discrete-continuous problems without requiring monotonicity of the optimal policy or numerical optimisation. FUES can also perform orders of magnitude faster than existing upper-envelope methods.
This repo ships a unified upper-envelope interface (uenvelope) that dispatches to FUES and three benchmark methods: MSS (Iskhakov et al. 2017), LTM (Druedahl & Jørgensen 2017), and RFC (Dobrescu & Shanker 2024).
Pre-release (v0.6.0) — Under active research development. API may change.
Dobrescu, L.I. and Shanker, A. (2022). “A fast upper envelope scan method for discrete-continuous dynamic programming.” SSRN Working Paper.
Install
The installable package is dcsmm (contains fues and uenvelope). Requires Python 3.11+.
Option 1 — Library only
Install FUES…