Evolutionary programming as a solution technique for the Bellman equation
Paul Gomme ()
No 9816, Working Paper from Federal Reserve Bank of Cleveland
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)
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