From simple growth to numerical simulations: a primer in dynamic programming
These notes provide an intuitive introduction to dynamic programming. The first two Sections present the standard deterministic Ramsey model using the Lagrangian approach. These can be skipped by whom is already acquainted with this framework. Section 3 shows how to solve the well understood Ramsey model by means of a Bellman equation, while Section 4 shows how to "guess" the solution (when this is possible). Section 5 is devoted to applications of the envelope theorem. Section 6 provides a "paper and pencil" introduction to the numerical techniques used in dynamic programming, and can be skipped by the uninterested reader. Sections 7 to 9 are devoted to stochastic modelling, and to stochastic Bellman equations. Section 10 extends the discussion of numerical techniques. An Appendix provides details about the Matlab routines used to solve the examples.
|Length:||nn pages 80|
|Date of creation:||Jul 2007|
|Contact details of provider:|| Web page: http://www.unicatt.it/Istituti/TeoriaEconomica|
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Christiano, Lawrence J. & Fisher, Jonas D. M., 2000.
"Algorithms for solving dynamic models with occasionally binding constraints,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 24(8), pages 1179-1232, July.
- Lawrence J. Christiano & Jonas D. M. Fisher, 1994. "Algorithms for solving dynamic models with occasionally binding constraints," Staff Report 171, Federal Reserve Bank of Minneapolis.
- Lawrence J. Christiano & Jonas D.M. Fisher, 1997. "Algorithms for solving dynamic models with occasionally binding constraints," Working Paper Series, Macroeconomic Issues WP-97-15, Federal Reserve Bank of Chicago.
- Lawrence J. Christiano & Jonas D.M. Fisher, 1994. "Algorithms for solving dynamic models with occasionally binding constraints," Working Paper Series, Macroeconomic Issues 94-6, Federal Reserve Bank of Chicago.
- Lawrence J. Christiano & Jonas D.M. Fisher, 1997. "Algorithms for Solving Dynamic Models with Occasionally Binding Constraints," NBER Technical Working Papers 0218, National Bureau of Economic Research, Inc.
- Lawrence J. Christiano & Jonas D. M. Fisher, 1997. "Algorithms for solving dynamic models with occasionally binding constraints," Working Paper 9711, Federal Reserve Bank of Cleveland.
- Ellen R. McGrattan, 1998. "Application of weighted residual methods to dynamic economic models," Staff Report 232, Federal Reserve Bank of Minneapolis.
- Benveniste, L M & Scheinkman, J A, 1979. "On the Differentiability of the Value Function in Dynamic Models of Economics," Econometrica, Econometric Society, vol. 47(3), pages 727-732, May.
- Brock, William A. & Mirman, Leonard J., 1972. "Optimal economic growth and uncertainty: The discounted case," Journal of Economic Theory, Elsevier, vol. 4(3), pages 479-513, June.
- Albert Marcet & Guido Lorenzoni, 1998. "Parameterized expectations approach; Some practical issues," Economics Working Papers 296, Department of Economics and Business, Universitat Pompeu Fabra. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:ctc:serie6:itemq0745. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Gianluca Femminis)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.