Shape-preserving dynamic programming (Q2392821)
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scientific article; zbMATH DE number 6194437
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| English | Shape-preserving dynamic programming |
scientific article; zbMATH DE number 6194437 |
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Shape-preserving dynamic programming (English)
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2 August 2013
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The authors propose a general shape-preserving approximation approach and apply it to numerical dynamic programming. They demonstrate how their approach works using a discrete-time optimal growth problem [\textit{K. L. Judd}, Numerical methods in economics. Cambridge, MA: MIT Press (1998; Zbl 0924.65001)] and a multi-stage portfolio optimization problem. The examples show the stability and accuracy advantages of the proposed method.
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numerical dynamic programming
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shape-preserving approximation
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multi-stage decision-making problems
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value function iteration
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0.8330528140068054
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0.8205502033233643
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0.7619981169700623
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0.7526060938835144
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0.7314221262931824
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