全球智库信息集成服务系统(G2TT): Dynamic Programming with Hermite Approximation

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w18540
来源ID	Working Paper 18540
	Dynamic Programming with Hermite Approximation
	Yongyang Cai; Kenneth L. Judd
发表日期	2012-11-15
出版年	2012
语种	英语
摘要	Numerical dynamic programming algorithms typically use Lagrange data to approximate value functions over continuous states. Hermite data is easily obtained from solving the Bellman equation and can be used to approximate value functions. We illustrate this method with one-, three-, and six-dimensional examples. We find that value function iteration with Hermite approximation improves accuracy by one to three digits using little extra computing time. Moreover, Hermite approximation is significantly faster than Lagrange for the same accuracy, and this advantage increases with dimension.
主题	Microeconomics ; Mathematical Tools
URL	https://www.nber.org/papers/w18540
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/576215
推荐引用方式 GB/T 7714	Yongyang Cai,Kenneth L. Judd. Dynamic Programming with Hermite Approximation. 2012.