The Latest NBER Working Papers http://www.nber.org/new.html 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. http://papers.nber.org/papers/w19034#fromrss http://papers.nber.org/papers/w19034#fromrss