Shape-preserving dynamic programming

DOI10.1007/S00186-012-0406-5MaRDI QIDQ2392821zbMATH OpenOpenAlexFDO

Authors Yongyang Cai, Kenneth L. Judd

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 (90C39) Dynamic programming in optimal control and differential games (49L20)

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Cites work

• scientific article; zbMATH DE number 3126094 (Why is no real title available?)
• scientific article; zbMATH DE number 1241609 (Why is no real title available?)
• A Modeling Language for Mathematical Programming
• A projected Lagrangian algorithm and its implementation for sparse nonlinear constraints
• Dynamic programming and optimal control. Vol. 1.
• Dynamic programming with shape-preserving rational spline Hermite interpolation
• Introduction to Stochastic Programming
• On Shape Preserving Quadratic Spline Interpolation
• SNOPT: An SQP Algorithm for Large-Scale Constrained Optimization
• Solving a savings allocation problem by numerical dynamic programming with shape-preserving interpolation

Cited in

(13)

• Two simplex-based approximate stochastic dynamic programming schemes for a real hydropower management problem
• Approximation of dynamic programs
• On the Convergence of a Greedy Algorithm for the Solution of the Problem for the Construction of Monotone Regression
• Numerical Solution of Continuous-State Dynamic Programs Using Linear and Spline Interpolation
• Shape-preserving computation in economic growth models
• Dynamic programming deconstructed: transformations of the Bellman equation and computational efficiency
• Dynamic programming with Hermite approximation
• A simple but powerful simulated certainty equivalent approximation method for dynamic stochastic problems
• Numerical solutions to dynamic portfolio problems: The case for value function iteration using Taylor approximation
• Dynamic programming with shape-preserving rational spline Hermite interpolation
• Solving dynamic discrete choice models using smoothing and sieve methods
• A New Approach for American Option Pricing: The Dynamic Chebyshev Method
• A polyhedral approximation approach to concave numerical dynamic programming

Describes a project that uses

Uses Software

• SNOPT

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