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A NONLINEAR PROGRAMMING METHOD FOR DYNAMIC PROGRAMMING
Published online by Cambridge University Press: 18 January 2016
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 approximate value functions. Our numerical results show that this nonlinear programming is efficient and accurate, and avoids inefficient discretization.
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- Copyright © Cambridge University Press 2016
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