Shape-preserving dynamic programming

DOI10.1007/s00186-012-0406-5zbMath1279.49016OpenAlexW2061529207MaRDI QIDQ2392821

Kenneth L. Judd, Yongyang Cai

Publication date: 2 August 2013

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-012-0406-5

zbMATH Keywords

value function iterationshape-preserving approximationnumerical dynamic programmingmulti-stage decision-making problems

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Dynamic programming in optimal control and differential games (49L20) Dynamic programming (90C39)

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Uses Software

• SNOPT

Cites Work

• A Modeling Language for Mathematical Programming
• Dynamic programming with shape-preserving rational spline Hermite interpolation
• Solving a savings allocation problem by numerical dynamic programming with shape-preserving interpolation
• On Shape Preserving Quadratic Spline Interpolation
• A projected Lagrangian algorithm and its implementation for sparse nonlinear constraints
• Introduction to Stochastic Programming
• SNOPT: An SQP Algorithm for Large-Scale Constrained Optimization
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