Valentina Michelangeli, Dr.
Via Nazionale 91, 00184 Roma
Information about this author at RePEc
NBER Working Papers and Publications
|May 2013||Nonlinear 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.
Published: 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