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:	2013-05
Authors:	Judd, Kenneth L. ; Lontzek, Thomas S. ; Cai, Yongyang ; Michelangeli, Valentina ; Su, Che-Lin
Institutions:	National Bureau of Economic Research (NBER)

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Extent:	application/pdf
Series:	NBER Working Papers.
Type of publication:	Book / Working Paper
Notes:	TWP The price is Paper copy available by mail Number 19034
Classification:	C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; C63 - Computational Techniques
Source:	RePEc - Research Papers in Economics

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