Hybrid Methods for Continuous Space Dynamic Programming

Mario Joseph Miranda () and Paul L. Fackler ()
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Paul L. Fackler: North Carolina State University

No 1332, Computing in Economics and Finance 1999 from Society for Computational Economics

Abstract: We propose a method for solving continuous-state and action-stochastic dynamic programs that is a hybrid between the continuous space projection methods introduced by Judd and the discrete space methods introduced by Bellman. Our hybrid approach yields a smooth representation of the value function while preserving the computational simplicity of discrete dynamic programming. Our method is especially well suited for implementation in a vector processing environment such as MATLAB or GAUSS, and makes it possible to automate the setup and solution of continuous space dynamic programs in a way that previously seemed elusive.

Date: 1999-03-01
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