A polyhederal approximation approach to concave numerical dynamic programming
AbstractThis paper describes a method for solving concave numerical dynamic programming problems which is based a pair of polyhederal approximations of concave functions. The method is robust in that (i) it is globally convergent, (ii) it produces exact error bounds on the computed value function which can in theory be made arbitrarily tight, and (iii) its implementation boils down to solving a sequence of linear programs. This is true regardless of the dimensionality of the state space, the pattern of binding constraints, and the smoothness of model primitives. Numerical examples suggest that the method is capable of producing accurate solutions in an ecient manner.
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Bibliographic InfoPaper provided by Society for Economic Dynamics in its series 2011 Meeting Papers with number 689.
Date of creation: 2011
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Postal: Society for Economic Dynamics Christian Zimmermann Economic Research Federal Reserve Bank of St. Louis PO Box 442 St. Louis MO 63166-0442 USA
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Other versions of this item:
- Fukushima, Kenichi & Waki, Yuichiro, 2013. "A polyhedral approximation approach to concave numerical dynamic programming," Journal of Economic Dynamics and Control, Elsevier, vol. 37(11), pages 2322-2335.
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
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