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Optimal time aggregation of infinite horizon control problems

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  • Alemdar, Nedim M.
  • Sirakaya, Sibel
  • Husseinov, Farhad

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  • Alemdar, Nedim M. & Sirakaya, Sibel & Husseinov, Farhad, 2006. "Optimal time aggregation of infinite horizon control problems," Journal of Economic Dynamics and Control, Elsevier, vol. 30(4), pages 569-593, April.
    • Handle: RePEc:eee:dyncon:v:30:y:2006:i:4:p:569-593
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    1. Kehoe, Timothy J & Levine, David K & Romer, Paul M, 1992. "On Characterizing Equilibria of Economies with Externalities and Taxes as Solutions to Optimization Problems," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 2(1), pages 43-68, January.
    2. Mercenier, Jean & Michel, Philippe, 2001. "Temporal aggregation in a multi-sector economy with endogenous growth," Journal of Economic Dynamics and Control, Elsevier, vol. 25(8), pages 1179-1191, August.
    3. Tauchen, George & Hussey, Robert, 1991. "Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models," Econometrica, Econometric Society, vol. 59(2), pages 371-396, March.
    4. Mercenier, Jean & Michel, Philippe, 1994. "Discrete-Time Finite Horizon Appromixation of Infinite Horizon Optimization Problems with Steady-State Invariance," Econometrica, Econometric Society, vol. 62(3), pages 635-656, May.
    5. Sims,Christopher A. (ed.), 1994. "Advances in Econometrics," Cambridge Books, Cambridge University Press, number 9780521444606.
    6. Sharon A. Johnson & Jery R. Stedinger & Christine A. Shoemaker & Ying Li & José Alberto Tejada-Guibert, 1993. "Numerical Solution of Continuous-State Dynamic Programs Using Linear and Spline Interpolation," Operations Research, INFORMS, vol. 41(3), pages 484-500, June.
    7. Mercenier, J. & Michel, P., 1991. "A Criterion For Time Aggregation Intertemporal Dynamic Models," Cahiers de recherche 9108, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    8. Judd, Kenneth L., 1996. "Approximation, perturbation, and projection methods in economic analysis," Handbook of Computational Economics, in: H. M. Amman & D. A. Kendrick & J. Rust (ed.), Handbook of Computational Economics, edition 1, volume 1, chapter 12, pages 509-585, Elsevier.
    9. Jermann, Urban J., 1998. "Asset pricing in production economies," Journal of Monetary Economics, Elsevier, vol. 41(2), pages 257-275, April.
    10. Sims,Christopher A. (ed.), 1994. "Advances in Econometrics," Cambridge Books, Cambridge University Press, number 9780521444590.
    11. Reiter, Michael, 1999. "Solving higher-dimensional continuous-time stochastic control problems by value function regression," Journal of Economic Dynamics and Control, Elsevier, vol. 23(9-10), pages 1329-1353, September.
    12. Trick, Michael A. & Zin, Stanley E., 1997. "Spline Approximations To Value Functions," Macroeconomic Dynamics, Cambridge University Press, vol. 1(1), pages 255-277, January.
    13. Rust, John, 1996. "Numerical dynamic programming in economics," Handbook of Computational Economics, in: H. M. Amman & D. A. Kendrick & J. Rust (ed.), Handbook of Computational Economics, edition 1, volume 1, chapter 14, pages 619-729, Elsevier.
    14. H. M. Amman & D. A. Kendrick & J. Rust (ed.), 1996. "Handbook of Computational Economics," Handbook of Computational Economics, Elsevier, edition 1, volume 1, number 1.
    15. John Rust, 1997. "Using Randomization to Break the Curse of Dimensionality," Econometrica, Econometric Society, vol. 65(3), pages 487-516, May.
    16. Flam, Sjur D & Wets, Roger J-B, 1987. "Existence Results and Finite Horizon Approximates for Infinite Horizon Optimization Problems," Econometrica, Econometric Society, vol. 55(5), pages 1187-1209, September.
    17. Alemdar, Nedim M. & Ozyildirim, Suheyla, 1998. "A genetic game of trade, growth and externalities," Journal of Economic Dynamics and Control, Elsevier, vol. 22(6), pages 811-832, June.
    18. Alemdar, Nedim M. & Sirakaya, Sibel, 2003. "On-line computation of Stackelberg equilibria with synchronous parallel genetic algorithms," Journal of Economic Dynamics and Control, Elsevier, vol. 27(8), pages 1503-1515, June.
    19. Lars Grune & Willi Semmler, 2003. "Solving Asset Pricing Models with Stochastic Dynamic Programming," Computing in Economics and Finance 2003 54, Society for Computational Economics.
    20. Judd, Kenneth L., 1992. "Projection methods for solving aggregate growth models," Journal of Economic Theory, Elsevier, vol. 58(2), pages 410-452, December.
    21. Lucas, Robert Jr., 1988. "On the mechanics of economic development," Journal of Monetary Economics, Elsevier, vol. 22(1), pages 3-42, July.
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    1. Ragni, Stefania & Diele, Fasma & Marangi, Carmela, 2010. "Steady-state invariance in high-order Runge-Kutta discretization of optimal growth models," Journal of Economic Dynamics and Control, Elsevier, vol. 34(7), pages 1248-1259, July.

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