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Handbook of Computational Economics by Kenneth L. Judd, Karl Schmedders

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Chapter 8

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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