Dynamic programming with shape-preserving rational spline Hermite interpolation

Numerical methods for dynamic programming often use value function iteration and interpolation. We present a novel shape-preserving rational spline approximation method that improves value function iteration in terms of both stability and accuracy compared to more common methods.

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Year of publication:	2012
Authors:	Cai, Yongyang ; Judd, Kenneth L.
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 117.2012, 1, p. 161-164
Publisher:	Elsevier
Subject:	Numerical dynamic programming \| Shape-preserving approximation \| Hermite interpolation \| Rational function spline \| Value function iteration

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Type of publication:	Article
Classification:	C6 - Mathematical Methods and Programming ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; C63 - Computational Techniques
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010580474