Nonlinear Programming Method for Dynamic Programming
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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Copy CitationYongyang Cai, Kenneth L. Judd, Thomas S. Lontzek, Valentina Michelangeli, and Che-Lin Su, "Nonlinear Programming Method for Dynamic Programming," NBER Working Paper 19034 (2013), https://doi.org/10.3386/w19034.Download Citation
Published Versions
Cai, Yongyang & Judd, Kenneth L. & Lontzek, Thomas S. & Michelangeli, Valentina & Su, Che-Lin, 2017. "A Nonlinear Programming Method For Dynamic Programming," Macroeconomic Dynamics, Cambridge University Press, vol. 21(02), pages 336-361, March. citation courtesy of 
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