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A NONLINEAR PROGRAMMING METHOD FOR DYNAMIC PROGRAMMING

Published online by Cambridge University Press:  18 January 2016

Yongyang Cai ,
Kenneth L. Judd ,
Thomas S. Lontzek ,
Valentina Michelangeli  and
Che-Lin Su
Yongyang Cai*
Affiliation:
Hoover Institution and Becker Friedman Institute, University of Chicago
Kenneth L. Judd
Affiliation:
Hoover Institution
Thomas S. Lontzek
Affiliation:
University of Zurich
Valentina Michelangeli
Affiliation:
Bank of Italy
Che-Lin Su
Affiliation:
The University of Chicago Booth School of Business
*
Address correspondence to: Yongyang Cai, Hoover Institution, Stanford, CA 94305, USA; e-mail: [email protected].
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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.

Keywords

Dynamic ProgrammingOptimal ControlNonlinear ProgrammingInfinite-Horizon Decision Making Problem
Type
Articles
Information
Macroeconomic Dynamics , Volume 21 , Issue 2 , March 2017 , pp. 336 - 361
Copyright
Copyright © Cambridge University Press 2016 

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Footnotes

Cai, Judd, Lontzek, and Michelangeli note with great sadness the passing of Che-Lin Su this past July. We thank him for his contributions. We are grateful to the editors and anonymous reviewers for their insightful comments and suggestions. We particularly thank Philipp Renner for his many helpful comments. Cai and Judd gratefully acknowledge NSF support (SES-0951576). The views expressed herein are those of the authors and do not necessarily reflect the views of the Bank of Italy.

References

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