A NONLINEAR PROGRAMMING METHOD FOR DYNAMIC PROGRAMMING

被引：6

作者：

Cai, Yongyang ^{[1
,2
]}

Judd, Kenneth L. ^{[1
]}

Lontzek, Thomas S. ^{[3
]}

Michelangeli, Valentina ^{[4
]}

Su, Che-Lin ^{[5
]}

机构：

[1] Hoover Inst War Revolut & Peace, Stanford, CA 94305 USA

[2] Univ Chicago, Becker Friedman Inst, Chicago, IL 60637 USA

[3] Univ Zurich, CH-8006 Zurich, Switzerland

[4] Bank Italy, Rome, Italy

[5] Univ Chicago, Booth Sch Business, Chicago, IL 60637 USA

来源：

MACROECONOMIC DYNAMICS | 2017年 / 21卷 / 02期

关键词：

Dynamic Programming; Optimal Control; Nonlinear Programming; Infinite-Horizon Decision Making Problem; BUSINESS-CYCLE MODELS;

D O I：

10.1017/S1365100515000528

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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 approximate value functions. Our numerical results show that this nonlinear programming is efficient and accurate, and avoids inefficient discretization.

引用

页码：336 / 361

页数：26

共 24 条

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