Dynamic programming and pylcm

pylcm solves finite-horizon dynamic programs. In a single-regime notation, its general period-$t$ recursion is

With the default LinearAggregator() and LinearExpectation(), this reduces to

The state $x$ is declared through states, the choice $a$ through actions, the flow payoff through functions["utility"], and the feasible set through constraints. state_transitions and stochastic-process declarations determine $x'$. pylcm composes those named pieces, solves backward over the AgeGrid, and then reuses the solution for forward simulation.

This page maps the dynamic-programming objects to pylcm. It is not an introduction to dynamic programming. For that, use the QuantEcon Dynamic Programming book.

Regimes add a discrete state with changing structure¶

Many lifecycle models change their equations and available choices across employment, retirement, marriage, or death. pylcm represents each qualitatively distinct problem as a Regime. A regime transition determines the next regime, and each regime supplies its own states, actions, functions, constraints, and transition laws.

The continuation is therefore a weighted or deterministic read from the value functions of reachable target regimes. Per-target transition dictionaries declare structural reachability; omitted targets are not merely assigned zero probability, they are absent from the problem.

See Regimes for the workflow and Model and Regime for exact declaration forms.

Solve and simulation are related phases, not identical programs¶

Backward induction evaluates values over numerical grids. Simulation evaluates policies for a cohort at realized, potentially off-grid states. Most declarations broadcast to both phases, but Phased(solve=..., simulate=...) permits different implementations where their data topology genuinely differs. A carried state, for example, can be derived during solution and remain a seeded state during simulation.

The exact grammar is in Transitions and phase specialization; the numerical reason is developed in Phase-dependent model structure.

The solver changes the representation of the maximization¶

GridSearch constructs the full state-action product and evaluates the objective and constraints on it. EGM-family solvers replace one continuous maximization with an Euler-equation inversion and therefore need stronger assumptions and named economic roles.

This is why solver selection belongs before detailed model authoring. The economic problem and the numerical representation have to agree; changing only solver=... cannot turn an arbitrary model into an endogenous-grid problem. Continue with Solver families and Choosing a solver.