Although almost nonexistent 15 years ago, there are now numerous papers that analyze models with both aggregate uncertainty and a large number—typically a continuum—of heterogeneous agents. These models make it possible to study whether macroeconomic fluctuations affect different agents differently and whether heterogeneity in turn affects macroeconomic fluctuations. This chapter reviews different algorithms to solve and simulate these models. In addition, it highlights problems with popular accuracy tests and discusses more powerful alternatives.