05 Fakultät Informatik, Elektrotechnik und Informationstechnik

Permanent URI for this collectionhttps://elib.uni-stuttgart.de/handle/11682/6

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Institute: search.filters.UBSInstitut.Fakultätsübergreifend / Sonstige EinrichtungAuthor: search.filters.author.Pflüger, Dirk

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    Solving high-dimensional dynamic portfolio choice models with hierarchical B-splines on sparse grids
    (2021) Schober, Peter; Valentin, Julian; Pflüger, Dirk
    Discrete time dynamic programming to solve dynamic portfolio choice models has three immanent issues: firstly, the curse of dimensionality prohibits more than a handful of continuous states. Secondly, in higher dimensions, even regular sparse grid discretizations need too many grid points for sufficiently accurate approximations of the value function. Thirdly, the models usually require continuous control variables, and hence gradient-based optimization with smooth approximations of the value function is necessary to obtain accurate solutions to the optimization problem. For the first time, we enable accurate and fast numerical solutions with gradient-based optimization while still allowing for spatial adaptivity using hierarchical B-splines on sparse grids. When compared to the standard linear bases on sparse grids or finite difference approximations of the gradient, our approach saves an order of magnitude in total computational complexity for a representative dynamic portfolio choice model with varying state space dimensionality, stochastic sample space, and choice variables.
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    Effective or predatory funding? : evaluating the hidden costs of grant applications
    (2022) Dresler, Martin; Buddeberg, Eva; Endesfelder, Ulrike; Haaker, Jan; Hof, Christian; Kretschmer, Robert; Pflüger, Dirk; Schmidt, Fabian
    Researchers are spending an increasing fraction of their time on applying for funding; however, the current funding system has considerable deficiencies in reliably evaluating the merit of research proposals, despite extensive efforts on the sides of applicants, grant reviewers and decision committees. For some funding schemes, the systemic costs of the application process as a whole can even outweigh the granted resources - a phenomenon that could be considered as predatory funding. We present five recommendations to remedy this unsatisfactory situation.