Dynamic programming and its application in economics and finance
Abstract/Contents
- Abstract
- Multistage decision problems are numerically challenging. Typically the work to solve such problems is an exponential function with respect to both the number of stages and the number of decision parameters. The problems have been researched extensively and a wide variety of methods to solve them have been proposed. Inevitably all methods are limited in the size of problem they can solve. The purpose of our work is to develop a new more efficient algorithm and one that can run on parallel architectures, thereby extending significantly the size of problems that are tractable. We present a numerical dynamic programming algorithm that has three components: optimization, approximation, and integration. A key feature of the approximation methods we use is to preserve mathematical features such as convexity and differentiability, which enables us to use powerful optimization methods. To illustrate the efficiency of the new method we present extensive results on optimal growth models and dynamic portfolio problems, using our implementation of the algorithm on the Condor Master-Worker system.
Description
| Type of resource | text |
|---|---|
| Form | electronic; electronic resource; remote |
| Extent | 1 online resource. |
| Copyright date | 2010 |
| Publication date | 2009, c2010; 2009 |
| Issuance | monographic |
| Language | English |
Creators/Contributors
| Associated with | Cai Yongyang | |
|---|---|---|
| Associated with | Stanford University, Institute for Computational and Mathematical Engineering. | |
| Primary advisor | Judd, Kenneth L | |
| Primary advisor | Murray, Walter | |
| Thesis advisor | Judd, Kenneth L | |
| Thesis advisor | Murray, Walter | |
| Thesis advisor | Saunders, Michael A | |
| Advisor | Saunders, Michael A |
Subjects
| Genre | Theses |
|---|
Bibliographic information
| Statement of responsibility | Cai Yongyang. |
|---|---|
| Note | Submitted to the Institute for Computational and Mathematical Engineering. |
| Thesis | Thesis (Ph.D.)--Stanford University, 2010. |
| Location | electronic resource |
Access conditions
- Copyright
- © 2010 by Cai Yongyang
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