Nonlinear Programming Method for Dynamic Programming

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:	2013
Authors:	Cai, Yongyang
Other Persons:	Judd, Kenneth L. (contributor) ; Lontzek, Thomas (contributor) ; Michelangeli, Valentina (contributor) ; Su, Che-Lin (contributor)
Publisher:	[2013]: [S.l.] : SSRN
Subject:	Mathematische Optimierung \| Mathematical programming \| Dynamische Optimierung \| Dynamic programming \| Nichtlineare Optimierung \| Nonlinear programming \| Theorie \| Theory

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Extent:	1 Online-Ressource (21 p)
Series:	NBER Working Paper ; No. w19034
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 2013 erstellt
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013082154