There are no files associated with this item.
Full metadata record
DC Field | Value | Language |
---|---|---|
dc.citation.endPage | 955 | - |
dc.citation.number | 3 | - |
dc.citation.startPage | 925 | - |
dc.citation.title | COMPUTATIONAL ECONOMICS | - |
dc.citation.volume | 55 | - |
dc.contributor.author | Chang, Wonjun | - |
dc.contributor.author | Ferris, Michael C. | - |
dc.contributor.author | Kim, Youngdae | - |
dc.contributor.author | Rutherford, Thomas F. | - |
dc.date.accessioned | 2024-08-06T11:35:06Z | - |
dc.date.available | 2024-08-06T11:35:06Z | - |
dc.date.created | 2024-08-06 | - |
dc.date.issued | 2020-03 | - |
dc.description.abstract | We present a mixed complementarity problem (MCP) formulation of continuous state dynamic programming problems (DP-MCP). We write the solution to projection methods in value function iteration (VFI) as a joint set of optimality conditions that characterize maximization of the Bellman equation; and approximation of the value function. The MCP approach replaces the iterative component of projection based VFI with a one-shot solution to a square system of complementary conditions. We provide three numerical examples to illustrate our approach. | - |
dc.identifier.bibliographicCitation | COMPUTATIONAL ECONOMICS, v.55, no.3, pp.925 - 955 | - |
dc.identifier.doi | 10.1007/s10614-019-09921-y | - |
dc.identifier.issn | 0927-7099 | - |
dc.identifier.scopusid | 2-s2.0-85074391345 | - |
dc.identifier.uri | https://scholarworks.unist.ac.kr/handle/201301/83417 | - |
dc.identifier.wosid | 000519585100008 | - |
dc.language | 영어 | - |
dc.publisher | SPRINGER | - |
dc.title | Solving Stochastic Dynamic Programming Problems: A Mixed Complementarity Approach | - |
dc.type | Article | - |
dc.description.isOpenAccess | FALSE | - |
dc.relation.journalWebOfScienceCategory | Economics; Management; Mathematics, Interdisciplinary Applications | - |
dc.relation.journalResearchArea | Business & Economics; Mathematics | - |
dc.type.docType | Article | - |
dc.description.journalRegisteredClass | scie | - |
dc.description.journalRegisteredClass | ssci | - |
dc.description.journalRegisteredClass | scopus | - |
dc.subject.keywordAuthor | Computable general equilibrium | - |
dc.subject.keywordAuthor | Complementarity | - |
dc.subject.keywordAuthor | Computational methods | - |
dc.subject.keywordAuthor | Dynamic Programming | - |
dc.subject.keywordPlus | EQUILIBRIUM | - |
dc.subject.keywordPlus | GAMS | - |
dc.subject.keywordPlus | MODELS | - |
Items in Repository are protected by copyright, with all rights reserved, unless otherwise indicated.
Tel : 052-217-1404 / Email : scholarworks@unist.ac.kr
Copyright (c) 2023 by UNIST LIBRARY. All rights reserved.
ScholarWorks@UNIST was established as an OAK Project for the National Library of Korea.