A NONLINEAR PROGRAMMING METHOD FOR DYNAMIC PROGRAMMING

@article{Cai2016ANP,
  title={A NONLINEAR PROGRAMMING METHOD FOR DYNAMIC PROGRAMMING},
  author={Y. Cai and K. Judd and Thomas S. Lontzek and V. Michelangeli and Che-Lin Su},
  journal={Macroeconomic Dynamics},
  year={2016},
  volume={21},
  pages={336 - 361}
}
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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