Author:
Cai Yongyang,Judd Kenneth L.,Lontzek Thomas S.,Michelangeli Valentina,Su Che-Lin
Abstract
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.
Publisher
Cambridge University Press (CUP)
Subject
Economics and Econometrics
Cited by
6 articles.
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