2013•National Bureau of Economic ResearchOpen access

Nonlinear Programming Method for Dynamic Programming

Yongyang Cai, Kenneth L. Judd, Thomas S. Lontzek, Valentina Michelangeli, Che-Lin Su

Abstract

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.

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Key concepts: Nonlinear programming, Computer science, Nonlinear system, Dynamic programming, Programming language, Mathematical optimization, Algorithm, Mathematics