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|
|Date of revision:|
|Contact details of provider:|| Web page: http://www.unicatt.it/Istituti/TeoriaEconomica|
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- 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.
- 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, 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.
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- 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.
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- 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.
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