A NONLINEAR PROGRAMMING METHOD FOR DYNAMIC PROGRAMMING
Published in Macroeconomic Dynamics • Jan 18, 2016
Authors:,,
Yongyang Cai
Kenneth L. Judd
Thomas S. Lontzek
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 eff...
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