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Nonlinear Programming Method for Dynamic Programming

NBER Working Paper No. w19034

21 Pages Posted: 11 May 2013 Last revised: 6 Jul 2023

See all articles by Yongyang Cai

Yongyang Cai

Ohio State University (OSU); Center for Robust Decisionmaking on Climate & Energy Policy (RDCEP)

Kenneth L. Judd

Stanford University - The Hoover Institution on War, Revolution and Peace; Center for Robust Decisionmaking on Climate & Energy Policy (RDCEP); National Bureau of Economic Research (NBER)

Thomas S. Lontzek

University of Zurich; Center for Robust Decisionmaking on Climate & Energy Policy (RDCEP)

Valentina Michelangeli

Bank of Italy

Che-Lin Su

University of Chicago - Booth School of Business

Date Written: May 2013

Abstract

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.

Suggested Citation

Cai, Yongyang and Judd, Kenneth L. and Lontzek, Thomas S. and Michelangeli, Valentina and Su, Che-Lin, Nonlinear Programming Method for Dynamic Programming (May 2013). NBER Working Paper No. w19034, Available at SSRN: https://ssrn.com/abstract=2263617

Yongyang Cai (Contact Author)

Ohio State University (OSU) ( email )

Department of Agricultural, Environmental
and Development Economics
Columbus, OH 43210
United States

Center for Robust Decisionmaking on Climate & Energy Policy (RDCEP) ( email )

5735 S. Ellis Street
Chicago, IL 60637
United States

Kenneth L. Judd

Stanford University - The Hoover Institution on War, Revolution and Peace ( email )

Stanford, CA 94305-6010
United States

Center for Robust Decisionmaking on Climate & Energy Policy (RDCEP) ( email )

5735 S. Ellis Street
Chicago, IL 60637
United States

National Bureau of Economic Research (NBER) ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Thomas S. Lontzek

University of Zurich ( email )

Switzerland

Center for Robust Decisionmaking on Climate & Energy Policy (RDCEP) ( email )

5735 S. Ellis Street
Chicago, IL 60637
United States

Valentina Michelangeli

Bank of Italy ( email )

Via Nazionale 91
Rome, 00184
Italy

Che-Lin Su

University of Chicago - Booth School of Business ( email )

5807 S. Woodlawn Avenue
Chicago, IL 60637
United States

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