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A NONLINEAR PROGRAMMING METHOD FOR DYNAMIC PROGRAMMING
Yongyang Cai, Kenneth L. Judd, Thomas S. Lontzek, Valentina Michelangeli, Che-Lin Su
Journal:

Macroeconomic Dynamics / Volume 21 / Issue 2 / March 2017

Published online by Cambridge University Press:

18 January 2016, pp. 336-361
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A nonlinear programming formulation is introduced to solve infinite-horizon dynamic programming problems. This extends the linear approach to dynamic programming by using ideas from approximation theory to approximate value functions. Our numerical results show that this nonlinear programming is efficient and accurate, and avoids inefficient discretization.

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A NONLINEAR PROGRAMMING METHOD FOR DYNAMIC PROGRAMMING