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Nonlinear Programming Method for Dynamic Programming

Cai, Yongyang - 2013

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 avoid inefficient discretization …. Our numerical results show that this nonlinear programming method is efficient and accurate …

Persistent link: https://www.econbiz.de/10012459628

Second-Order Approximation of Dynamic Models with Time-Varying Risk

Benigno, Gianluca - 2010

This paper provides first and second-order approximation methods for the solution of non-linear dynamic stochastic models in which the exogenous state variables follow conditionally-linear stochastic processes displaying time-varying risk. The first-order approximation is consistent with a...

Persistent link: https://www.econbiz.de/10012462025

Neural Network Learning for Nonlinear Economies

Ashwin, Julian; Beaudry, Paul; Ellison, Martin - National Bureau of Economic Research - 2024

Neural networks offer a promising tool for the analysis of nonlinear economies. In this paper, we derive conditions for the global stability of nonlinear rational expectations equilibria under neural network learning. We demonstrate the applicability of the conditions in analytical and numerical...

Persistent link: https://www.econbiz.de/10015056130

Optimal Dynamic R&D Programs

Grossman, Gene M. - 1985

We study the optimal pattern of outlays for a single firm pursuing an R&D program over time. In the deterministic case, (a) the amount of progress required to complete the project is known, and (b) the relationship between outlays and progress is known. In this case, it is optimal to increase...

Persistent link: https://www.econbiz.de/10012477422

Bliss Points in Mean-Variance Portfolio Models

Jones, David S. - 1981

When all financial assets have risky returns, the mean-variance portfolio model is potentially subject to two types of bliss points. One bliss point arises when a von Neumann-Morgenstern utility function displays negative marginal utility for sufficiently large end-of-period wealth, such as in...

Persistent link: https://www.econbiz.de/10012478302

A Conic Algorithm for the Group Minimization Problem

Simeone, Bruno - 1976

to solve integer linear programming problems) does not require group arithmetics …

Persistent link: https://www.econbiz.de/10012478970

On a General Computer Algorithm for the Analysis of Models with Limited Dependent Variables

Nelson, Forrest D. - 1974

Several econometric models for the analysis of relationships with limited dependent variables have been proposed, including the probit, Tobit, two-limit probit, ordered discrete, and friction models. Widespread application of these methods has been hampered by the lack of suitable computer...

Persistent link: https://www.econbiz.de/10012479065

Optimal Adaptive Control Methods for Structurally Varying Systems

Sarris, Alexander H. - 1973

conceptually by dynamic programming, but even with a quadratic loss function the analytical computations cannot be carried out for …

Persistent link: https://www.econbiz.de/10012479101

Benchmarking Global Optimizers

Arnoud, Antoine - 2019

We benchmark seven global optimization algorithms by comparing their performance on challenging multidimensional test functions as well as a method of simulated moments estimation of a panel data model of earnings dynamics. Five of the algorithms are taken from the popular NLopt open-source...

Persistent link: https://www.econbiz.de/10012480284

Optimal Illiquidity

Beshears, John - 2020

We calculate the socially optimal level of illiquidity in an economy populated by households with taste shocks and present bias (Amador, Werning, and Angeletos 2006). The government chooses mandatory contributions to respective spending/savings accounts, each with a different pre-retirement...

Persistent link: https://www.econbiz.de/10012481314