Home » Uncategorized » Numerical Dynamic Programming

Numerical Dynamic Programming

Judd and Slotnick, 1994, Numerical Dynamic Programming with Shape-Preserving Splines, here.

Parametric approximations of the value function are a critical feature of the value function iteration method for solving dynamic programming problems with continuous states. Simple approximation methods such as polynomial or spline interpolation may cause value function iteration to diverge. We show that shape-preserving splines can avoid divergence problems while producing a smooth approximation to the value function.

Ruszczynski et al., Lectures on Stochastic Programming, here. I remember seeing this before.

Advertisements

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out / Change )

Twitter picture

You are commenting using your Twitter account. Log Out / Change )

Facebook photo

You are commenting using your Facebook account. Log Out / Change )

Google+ photo

You are commenting using your Google+ account. Log Out / Change )

Connecting to %s

%d bloggers like this: