Nonlinear Programming Method for Dynamic Programming

Yongyang Cai, Kenneth L. Judd, Thomas S. Lontzek, Valentina Michelangeli, Che-Lin Su

A nonlinear programming formulation is introduced to solve infinite horizon dynamic programming problems. This extends the linear approach to dynamic programming by using ideas from approximation theory to avoid inefficient discretization. Our numerical results show that this nonlinear programming method is efficient and accurate

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Year of publication:	May 2013
Authors:	Cai, Yongyang
Other Persons:	Su, Che-Lin (contributor) ; Judd, Kenneth L. (contributor) ; Lontzek, Thomas S. (contributor) ; Michelangeli, Valentina (contributor)
Institutions:	National Bureau of Economic Research (contributor)
Publisher:	Cambridge, Mass : National Bureau of Economic Research
Subject:	Mathematische Optimierung \| Mathematical programming \| Dynamische Optimierung \| Dynamic programming \| Nichtlineare Optimierung \| Nonlinear programming \| Theorie \| Theory

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Extent:	1 Online-Ressource
Series:	NBER working paper series ; no. w19034
Type of publication:	Book / Working Paper
Language:	English
Notes:	Mode of access: World Wide Web System requirements: Adobe [Acrobat] Reader required for PDF files Hardcopy version available to institutional subscribers.
Other identifiers:	10.3386/w19034 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

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