Numerical Methods in Economics

Kenneth L. Judd

12 Numerical Dynamic Programming

12.1 Discrete Time Dynamic Programming Problems

12.2 Continuous Time Dynamic Programming Problems

12.3 Finite-State Methods

12.4 Acceleration Methods for Infinite-Horizon Problems

12.5 Discretization Methods for Continuous Problems

12.6 Methods for Solving Linear-Quadratic Problems

12.7 Continuous Methods for Continuous-State Problems

12.8 Parametric Approximations and Simulation Methods

12.9 Shape-Preserving Methods

12.10 Continuous-Time Problems

12.11 Further Readings and Summary

12.12 Exercises

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Resources by Chapter

  • 1 Introduction
  • 2 Elementary Concepts
  • 3 Linear Equations and Iterative Methods
  • 4 Optimization
  • 5 Nonlinear Equations
  • 6 Approximation Methods
  • 7 Numerical Integration and Differentiation
  • 8 Monte Carlo and Simulation Methods
  • 9 Quasi-Monte Carlo Methods
  • 10 Finite-Difference Methods
  • 11 Projection Methods for Functional Equations
  • 12 Numerical Dynamic Programming
  • 13 Regular Perturbations of Simple System
  • 14 Regular Perturbations in Multidimensional System
  • 15 Advanced Asymptotic Methods
  • 16 Solution Methods for Perfect Foresight Models
  • 17 Solving Rational Expectations Models

Resources by Chapter – 2nd Edition

  • 1 Introduction – 2nd Edition
  • 2 Elementary Aspects of Numerical Analysis 2nd Edition
  • 3 Linear Equations – 2nd Edition
  • 4 Unconstrained Optimization – 2nd Edition
  • 5 Nonlinear Equations – 2nd Edition
  • 6 Constrained Optimization – 2nd Edition
  • 7 Nonlinear Complementarity Problems – 2nd Edition
  • 8 Classical Approximation Methods – 2nd Edition
  • 9 Modern Approximation Methods – 2nd Edition
  • 10 Numerical Quadrature – 2nd Edition
  • 11 Monte Carlo and quasi-Monte Carlo – 2nd Edition
  • 12 Finite-Difference Methods – 2nd Edition
  • 13 Projection Methods – 2nd Edition
  • 14 Numerical Dynamic Programming — 2nd Edition
  • 15 Perturbation Methods in Euclidean Spaces – 2nd Edition
  • 16 Perturbation Methods in Function Spaces – 2nd Edition
  • 17 Asymptotic Methods – 2nd Edition
  • 18 Perfect Foresight Models – 2nd Edition
  • 19 Rational Expectations Models – 2nd Edition
  • 20 Dynamic Games – 2nd Edition
  • 21 Supergames – 2nd Edition
  • 22 Numerical Algebraic Geometry – 2nd Edition

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