Nonlinear Programming Method for Dynamic Programming

Yongyang Cai, Kenneth Judd, Thomas Lontzek (), Valentina Michelangeli and Che-Lin Su

No 19034, NBER Working Papers from National Bureau of Economic Research, Inc

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 avoid inefficient discretization. Our numerical results show that this nonlinear programming method is efficient and accurate.

JEL-codes: C61 C63 (search for similar items in EconPapers)
Date: 2013-05
New Economics Papers: this item is included in nep-dge and nep-ore
Note: TWP
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Citations: View citations in EconPapers (2)

Published as Cai, Yongyang & Judd, Kenneth L. & Lontzek, Thomas S. & Michelangeli, Valentina & Su, Che-Lin, 2017. "A Nonlinear Programming Method For Dynamic Programming," Macroeconomic Dynamics, Cambridge University Press, vol. 21(02), pages 336-361, March.

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Related works:
Journal Article: A NONLINEAR PROGRAMMING METHOD FOR DYNAMIC PROGRAMMING (2017)
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