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检索条件"主题词=Numerical dynamic programming"
11 条 记 录,以下是1-10 订阅
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Shape-preserving dynamic programming
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MATHEMATICAL METHODS OF OPERATIONS RESEARCH 2013年 第3期77卷 407-421页
作者: Cai, Yongyang Judd, Kenneth L. Stanford Univ Hoover Inst Stanford CA 94305 USA
dynamic programming is the essential tool in dynamic economic analysis. Problems such as portfolio allocation for individuals and optimal growth of national economies are typical examples. numerical methods typically ... 详细信息
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Solving dynamic programming Problems on a Computational Grid
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COMPUTATIONAL ECONOMICS 2015年 第2期45卷 261-284页
作者: Cai, Yongyang Judd, Kenneth L. Thain, Greg Wright, Stephen J. Stanford Univ Hoover Inst Stanford CA 94305 USA Univ Chicago Becker Friedman Inst Chicago IL 60637 USA NBER Stanford CA USA Univ Wisconsin Dept Comp Sci Madison WI 53706 USA
We implement a dynamic programming algorithm on a computational grid consisting of loosely coupled processors, possibly including clusters and individual workstations. The grid changes dynamically during the computati... 详细信息
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Continuous state dynamic programming via nonexpansive approximation
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COMPUTATIONAL ECONOMICS 2008年 第2期31卷 141-160页
作者: Stachurski, John Kyoto Univ Inst Econ Res Sakyo Ku Kyoto 6068501 Japan
This paper studies fitted value iteration for continuous state numerical dynamic programming using nonexpansive function approximators. A number of approximation schemes are discussed. The main contribution is to prov... 详细信息
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Adaptive grids for the estimation of dynamic models
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QME-QUANTITATIVE MARKETING AND ECONOMICS 2022年 第2期20卷 179-238页
作者: Lanz, Andreas Reich, Gregor Wilms, Ole HEC Paris Jouy En Josas France Tsumcor Res AG Schwerzenbach Switzerland Univ Hamburg Hamburg Germany Tilburg Univ Tilburg Netherlands
This paper develops a method to flexibly adapt interpolation grids of value function approximations in the estimation of dynamic models using either NFXP (Rust, Econometrica: Journal of the Econometric Society, 55, 99... 详细信息
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Asymptotic methods for aggregate growth models
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JOURNAL OF ECONOMIC dynamicS & CONTROL 1997年 第6期21卷 1025-1042页
作者: Judd, KL Guu, SM HOOVER INST WAR REVOLUT & PEACE STANFORDCA 94305 USA
We use perturbation methods to compute optimal policy functions in simple continuous-and discrete-time aggregate growth models. We demonstrate that computing the kth degree Taylor expansion of the policy function arou... 详细信息
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Intertemporal price discrimination with forward-looking consumers: Application to the US market for console video-games
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QME-QUANTITATIVE MARKETING AND ECONOMICS 2007年 第3期5卷 239-292页
作者: Nair, Harikesh Stanford Univ Grad Sch Business Stanford CA 94305 USA
Finns in durable good product markets face incentives to intertemporally price discriminate, by setting high initial prices to sell to consumers with the highest willingness to pay, and cutting prices thereafter to ap... 详细信息
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A computational approach to liquidity-constrained firms over an infinite horizon
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JOURNAL OF ECONOMIC dynamicS & CONTROL 2003年 第1期28卷 189-205页
作者: Ono, M Fukushima Univ Dept Econ Fukushima 7601296 Japan
This paper examines the behavior of liquidity-constrained firms in a time-series. It illustrates that cash-shortage expectations induce a firm to hold liquid assets, which reveal a nonlinear relationship with the degr... 详细信息
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dynamic programming with shape-preserving rational spline Hermite interpolation
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ECONOMICS LETTERS 2012年 第1期117卷 161-164页
作者: Cai, Yongyang Judd, Kenneth L. Stanford Univ Hoover Inst Stanford CA 94305 USA
numerical methods for dynamic programming often use value function iteration and interpolation. We present a novel shape-preserving rational spline approximation method that improves value function iteration in terms ... 详细信息
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Envelope condition method versus endogenous grid method for solving dynamic programming problems
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ECONOMICS LETTERS 2013年 第2期120卷 262-266页
作者: Maliar, Lilia Maliar, Serguei Stanford Univ Hoover Inst Stanford CA 94305 USA Univ Alicante Alicante Spain
We introduce an envelope condition method (ECM) for solving dynamic programming problems. The ECM method is simple to implement, dominates conventional value function iteration and is comparable in accuracy and cost t... 详细信息
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Rational Market Making with Probabilistic Knowledge  12
Rational Market Making with Probabilistic Knowledge
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International Conference on Autonomous Agents and Multiagent Systems
作者: Abraham Othman Tuomas Sandholm Computer Science Department Carnegie Mellon University
A market maker sets prices over time for wagers that pay out contingent on the future state of the world. The market maker has knowledge of the probability of realizing each state of the world, and of how the price of... 详细信息
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