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A Comparison of Parametric Approximation Techniques to Continuous-Time Stochastic Dynamic Programming Problems

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  • Kompas, Tom
  • Chu, Long

Abstract

We compare three parametric techniques to approximate Hamilton-Jacobi-Bellman equations via unidimensional and multidimensional problems. The linear programming technique is very efficient for unidimensional problems and offers a balance of speed and accuracy for multidimensional problems. A comparable projection technique is shown to be slow, but has stable accuracy, whereas a perturbation technique has the least accuracy although its speed suffers least from the curse of dimensionality. The linear programming technique is also shown to be suitable for problems in resource management, including applications to biosecurity and marine reserve design.

Suggested Citation

  • Kompas, Tom & Chu, Long, 2010. "A Comparison of Parametric Approximation Techniques to Continuous-Time Stochastic Dynamic Programming Problems," Research Reports 95044, Australian National University, Environmental Economics Research Hub.
  • Handle: RePEc:ags:eerhrr:95044
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    File URL: http://ageconsearch.umn.edu/record/95044/files/A%20Comparison%20of%20Parametric%20Approximation%20Techniques%20to%20Continuous-Time%20Stochastic%20Dynamic%20Programming%20Problems.pdf
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    1. Hans M. Amman & David A. Kendrick, . "Computational Economics," Online economics textbooks, SUNY-Oswego, Department of Economics, number comp1.
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    Cited by:

    1. Juan Carlos Parra-Alvarez, 2013. "A comparison of numerical methods for the solution of continuous-time DSGE models," CREATES Research Papers 2013-39, Department of Economics and Business Economics, Aarhus University.

    More about this item

    Keywords

    Research Methods/ Statistical Methods; Resource /Energy Economics and Policy;

    JEL classification:

    • 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
    • Q22 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Renewable Resources and Conservation - - - Fishery

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