Shape-preserving dynamic programming
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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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Cites work
- 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
- scientific article; zbMATH DE number 3126094 (Why is no real title available?)
- scientific article; zbMATH DE number 1241609 (Why is no real title available?)
- 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
(14)- 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 a savings allocation problem by numerical dynamic programming with shape-preserving interpolation
- A polyhedral approximation approach to concave numerical dynamic programming
- Solving dynamic discrete choice models using smoothing and sieve methods
- Dynamic programming with Hermite approximation
- Approximation of dynamic programs
- Numerical Solution of Continuous-State Dynamic Programs Using Linear and Spline Interpolation
- A New Approach for American Option Pricing: The Dynamic Chebyshev Method
- On the Convergence of a Greedy Algorithm for the Solution of the Problem for the Construction of Monotone Regression
- Dynamic programming deconstructed: transformations of the Bellman equation and computational efficiency
- Shape-preserving computation in economic growth models
- A simple but powerful simulated certainty equivalent approximation method for dynamic stochastic problems
- Two simplex-based approximate stochastic dynamic programming schemes for a real hydropower management problem
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