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Nonlinear Programming Method for Dynamic Programming

Cai, Yongyang - 2013

the linear approach to dynamic programming by using ideas from approximation theory to avoid inefficient discretization …

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

A Model of Stochastic Process Switching

Flood, Robert P.; Garber, Peter M. - 2021

In this paper we develop a rational expectations exchange rate model which is capable of confronting explicitly agents' beliefs about a future switch in exogenous driving processes. In our set-up the agents know with certainty both the initial exogenous process and the new process to be adopted...

Persistent link: https://www.econbiz.de/10013239183

A Conic Algorithm for the Group Minimization Problem

Simeone, Bruno - 2021

A new algorithm for the group minimization problem (GP) is proposed. The algorithm can be broadly described as follows …-known algorithm of Glover, and checked for non-negativity. The first non-negative point is an optimal solution of (GP). Advantages and … disadvantages of the algorithm are discussed; in particular, the implementation of the algorithm (which can be easily extended so as …

Persistent link: https://www.econbiz.de/10013224215

The Method of Endogenous Gridpoints for Solving Dynamic Stochastic Optimization Problems

Carroll, Chris - 2021

This paper introduces a method for solving numerical dynamic stochastic optimization problems that avoids rootfinding operations. The idea is applicable to many microeconomic and macroeconomic problems, including life cycle, buffer-stock, and stochastic growth problems. Software is provided

Persistent link: https://www.econbiz.de/10013229143

A Nonlinear Certainty Equivalent Approximation Method for Dynamic Stochastic Problems

Cai, Yongyang - 2018

This paper introduces a nonlinear certainty equivalent approximation method for dynamic stochastic problems. We first use a novel, stable and efficient method for computing the optimal policy functions for deterministic dynamic optimization problems, and then use them as certainty-equivalent...

Persistent link: https://www.econbiz.de/10012936887

Dynamic Optimization in Two-Party Models

McKibbin, Warwick J.; Roubini, Nouriel; Sachs, Jeffrey - 2021

problem we develop a numerical dynamic programming algorithm to solve for optimal policies of each party taking into account …

Persistent link: https://www.econbiz.de/10013218965

It'S Fourth Down and What Does the Bellman Equation Say? A Dynamic Programming Analysis of Football Strategy

Romer, David - 2021

This paper uses play-by-play accounts of virtually all regular season National Football League games for 1998-2000 to analyze teams' choices on fourth down between trying for a first down and kicking. Dynamic programming is used to estimate the values of possessing the ball at different points...

Persistent link: https://www.econbiz.de/10013244879

Benchmarking Global Optimizers

Arnoud, Antoine - 2019

) Improved Stochastic Ranking Evolution Strategy (ISRES), (iii) Multi-Level Single-Linkage (MLSL) algorithm, (iv) Stochastic … versions of TikTak, which is a multistart global optimization algorithm used in some recent economic applications. For … completeness, we add three popular local algorithms to the comparison—the Nelder-Mead downhill simplex algorithm, the Derivative …

Persistent link: https://www.econbiz.de/10012861735

Dynamic Programming with Hermite Approximation

Cai, Yongyang - 2012

Numerical dynamic programming algorithms typically use Lagrange data to approximate value functions over continuous states. Hermite data is easily obtained from solving the Bellman equation and can be used to approximate value functions. We illustrate this method with one-, three-, and...

Persistent link: https://www.econbiz.de/10013097781

Intergenerational Long Term Effects of Preschool - Structural Estimates from a Discrete Dynamic Programming Model

Heckman, James J. - 2013

This paper formulates a structural dynamic programming model of preschool investment choices of altruistic parents and then empirically estimates the structural parameters of the model using the NLSY79 data. The paper finds that preschool investment significantly boosts cognitive and...

Persistent link: https://www.econbiz.de/10013081261