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Hybrid Methods for Continuous Space Dynamic Programming

Author

Listed:
  • Mario J. Miranda

    (The Ohio State University)

  • Paul L. Fackler

    (North Carolina State University)

Abstract
We propose a method for solving continuous-state and action-stochastic dynamic programs that is a hybrid between the continuous space projection methods introduced by Judd and the discrete space methods introduced by Bellman. Our hybrid approach yields a smooth representation of the value function while preserving the computational simplicity of discrete dynamic programming. Our method is especially well suited for implementation in a vector processing environment such as MATLAB or GAUSS, and makes it possible to automate the setup and solution of continuous space dynamic programs in a way that previously seemed elusive.

Suggested Citation

  • Mario J. Miranda & Paul L. Fackler, 1999. "Hybrid Methods for Continuous Space Dynamic Programming," Computing in Economics and Finance 1999 1332, Society for Computational Economics.
    • Handle: RePEc:sce:scecf9:1332
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    Cited by:

    1. Richard E. Howitt & Siwa Msangi & Arnaud Reynaud & Keith C. Knapp, 2005. "Estimating Intertemporal Preferences for Natural Resource Allocation," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 87(4), pages 969-983.
    2. Msangi, Siwa, 2005. "Measuring the Gains to Groundwater Management with Recursive Utility," 2005 Annual meeting, July 24-27, Providence, RI 19212, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    3. King, Robert P. & Lohano, Heman D., 2006. "Accuracy of Numerical Solution to Dynamic Programming Models," Staff Papers 14230, University of Minnesota, Department of Applied Economics.
    4. Sayan, Serdar & Kiraci, Arzdar, 2001. "Parametric pension reform with higher retirement ages: A computational investigation of alternatives for a pay-as-you-go-based pension system," Journal of Economic Dynamics and Control, Elsevier, vol. 25(6-7), pages 951-966, June.

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