A NONLINEAR PROGRAMMING METHOD FOR DYNAMIC PROGRAMMING

Yongyang Cai,Kenneth L. Judd,Thomas S. Lontzek,Valentina Michelangeli,Che-Lin Su

MACROECONOMIC DYNAMICS（2017）

引用 7|浏览26

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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.

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关键词

Dynamic Programming,Optimal Control,Nonlinear Programming,Infinite-Horizon Decision Making Problem

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