Dynamic programming with Hermite approximation

Numerical dynamic programming algorithms typically use Lagrange data to approximate value functions over continuous states. Hermite data can be easily obtained from solving the Bellman equation and used to approximate the value functions. We illustrate the use of Hermite data with one-, three-, and...

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Veröffentlicht in:	Mathematical methods of operations research (Heidelberg, Germany) Germany), 2015-06, Vol.81 (3), p.245-267
Hauptverfasser:	Cai, Yongyang, Judd, Kenneth L.
Format:	Artikel
Sprache:	eng
Schlagworte:	Accuracy Algorithms Analysis Approximation Business and Management Calculus of Variations and Optimal Control Optimization Computational efficiency Digits Dynamic programming Environmental tax Growth models Mathematical analysis Mathematical models Mathematics Mathematics and Statistics Methods Operations research Operations Research/Decision Theory Optimization Original Article Polynomials Portfolio management Random variables Studies
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