Advances in Numerical Dynamic Programming and New Applications
Yongyang Cai and Kenneth L. Judd, Hoover Institution & NBER, USA, yycai@stanford.edu, kennethjudd@mac.com
Abstract
Dynamic programming is the essential tool in dynamic economic analysis. Problems such as portfolio allocation for individuals and optimal economic growth are typical examples. Numerical methods typically approximate the value function. Recent work has focused on making numerical methods more stable, and more efficient in its use of information. This chapter presents two examples where numerical dynamic programming is applied to high-dimensional problems from finance and the integration of climate and economic systems.
Keywords
Numerical dynamic programming; ...
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