NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Nonlinear Programming Method for Dynamic Programming

Yongyang Cai, Kenneth L. Judd, Thomas S. Lontzek, Valentina Michelangeli, Che-Lin Su

NBER Working Paper No. 19034
Issued in May 2013
NBER Program(s):   TWP

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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Document Object Identifier (DOI): 10.3386/w19034

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