A NONLINEAR PROGRAMMING METHOD FOR DYNAMIC PROGRAMMING

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

Macroeconomic Dynamics, 2017, vol. 21, issue 2, 336-361

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.

Date: 2017
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Working Paper: Nonlinear Programming Method for Dynamic Programming (2013)
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