NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Working Papers by Valentina Michelangeli, Dr.

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Working Papers

May 2013Nonlinear Programming Method for Dynamic Programming
with Yongyang Cai, Kenneth L. Judd, Thomas S. Lontzek, Che-Lin Su: w19034
A nonlinear programming formulation is introduced to solve infinite horizon dynamic programming problems. This extends the linear approach to dynamic programming by using ideas from approximation theory to avoid inefficient discretization. Our numerical results show that this nonlinear programming method is efficient and accurate.

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