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Improve construction of Lagrangians #14

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jessegrabowski opened this issue Feb 3, 2023 · 0 comments
Open

Improve construction of Lagrangians #14

jessegrabowski opened this issue Feb 3, 2023 · 0 comments
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bug Something isn't working enhancement New feature or request

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@jessegrabowski
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Currently, Lagrangians are required to be written as Bellman equations of the form:

U[] = u[] + beta * E[][U[1]];

The right-hand side can only include a discount factor and a single expectation, which must be of the left-hand side. Trying to include other variables, for example a stochastic discount factor Q[] = beta * E[][lambda[1]] / lambda[], will raise an exception. I forget why I did it this way, but this needs to be revisited.

@jessegrabowski jessegrabowski added bug Something isn't working enhancement New feature or request labels Feb 3, 2023
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