Shape-preserving dynamic programming

DOI10.1007/s00186-012-0406-5zbMath1279.49016MaRDI 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 iteration; shape-preserving approximation; numerical dynamic programming; multi-stage decision-making problems

Mathematics Subject Classification ID

65K05: Numerical mathematical programming methods

49L20: Dynamic programming in optimal control and differential games

90C39: Dynamic programming

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Uses Software

• SNOPT

Cites Work

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• 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