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A Nonlinear Certainty Equivalent Approximation Method for Dynamic Stochastic Problems ∗
| Content Provider | Semantic Scholar |
|---|---|
| Author | Cai, Yongyang Judd, Kenneth L. Steinbuks, Jevgenijs |
| Copyright Year | 2016 |
| Abstract | This paper introduces a nonlinear certainty equivalent approximation method for dynamic stochastic problems. We first use a novel, stable and efficient method for computing the optimal policy functions for deterministic dynamic optimization problems, and then use them as certainty-equivalent approximations for stochastic problems. Our examples demonstrate that it can be applied to solve high-dimensional problems with up to four hundred state variables with acceptable accuracy. This method can also be applied to solve problems with inequality constraints. These features make the nonlinear certainty ∗We thank the editor, Frank Schorfheide, three anonymous referees, and Thomas Hertel for their helpful comments. Cai gratefully acknowledges the National Science Foundation grants (SES-0951576 and SES-1463644). We also acknowledge the United States Department of Agriculture NIFA-AFRI grant 2015-67023-22905. This research is part of the Blue Waters sustained-petascale computing project, which is supported by the National Science Foundation (awards OCI-0725070 and ACI-1238993) and the state of Illinois. Blue Waters is a joint effort of the University of Illinois at Urbana-Champaign and its National Center for Supercomputing Applications. Responsibility for the content of the paper is the authors’ alone and does not necessarily reflect the views of their institutions, or member countries of the World Bank. †Corresponding author: University of Chicago & Hoover Institution. Email: yycai@stanford.edu ‡Hoover Institution, Stanford University. §Development Research Group, The World Bank. |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | http://www.qeconomics.org/ojs/forth/533/533-3.pdf |
| Language | English |
| Access Restriction | Open |
| Subject Keyword | ACM/IEEE Supercomputing Conference Approximation Arabic numeral 0 Architecture as Topic Awards Blue Waters Computation (action) Dominator (graph theory) Dynamic programming Email Mathematical optimization National Center for Supercomputing Applications Nonlinear system Parallel computing Petascale computing Social inequality funding grant |
| Content Type | Text |
| Resource Type | Article |
