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Nonlinear Programming Method for Dynamic Programming / Yongyang Cai, Kenneth L. Judd, Thomas S. Lontzek, Valentina Michelangeli, Che-Lin Su.
- Format:
- Book
- Author/Creator:
- Cai, Yongyang.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w19034.
- NBER working paper series no. w19034
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2013.
- Summary:
- 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.
- Notes:
- Print version record
- May 2013.
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