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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Persistent link: https://EconPapers.repec.org/RePEc:cup:macdyn:v:21:y:2017:i:02:p:336-361_00
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