Evolutionary programming as a solution technique for the Bellman equation

Paul Gomme ()

No 9816, Working Paper from Federal Reserve Bank of Cleveland

Abstract: Evolutionary programming is a stochastic optimization procedure that has proved useful in optimizing difficult functions. This paper shows that evolutionary programming can be used to solve the Bellman equation problem with a high degree of accuracy and substantially less CPU time than Bellman equation iteration. Future applications will focus on sometimes binding constraints, a class of problem for which standard solutions techniques are not applicable.

Keywords: Programming (Mathematics); Econometric models (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cmp and nep-dge
Date: 1998
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