Dynamic programming with shape-preserving rational spline Hermite interpolation

Yongyang Cai and Kenneth Judd

Economics Letters, 2012, vol. 117, issue 1, 161-164

Abstract: Numerical methods for dynamic programming often use value function iteration and interpolation. We present a novel shape-preserving rational spline approximation method that improves value function iteration in terms of both stability and accuracy compared to more common methods.

Keywords: Numerical dynamic programming; Shape-preserving approximation; Hermite interpolation; Rational function spline; Value function iteration (search for similar items in EconPapers)
JEL-codes: C6 C61 C63 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:117:y:2012:i:1:p:161-164

DOI: 10.1016/j.econlet.2012.05.004

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