GTAP Resources: Resource Display
| GTAP Resource #5248 |
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"Solving Stochastic Dynamic Programming Problems: A Mixed Complementarity Approach" by Chang, Wonjun and Thomas Rutherford Abstract We present a mixed complementarity problem (MCP) formulation of infinite horizon dynamic programming (DP) problems with continuous state space. The MCP approach replaces conventional value function iteration by the solution of a one-shot square system of equations and inequalities. Three numerical examples illustrate our approach and demonstrate that the DP-MCP algorithm can compute equilibria much faster than traditional value iteration. In addition, the MCP approach accommodates corner solutions in the optimal policy. |
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- Dynamic modeling |
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Public Access  GTAP Resource 5248 (1.3 MB) Replicated: 0 time(s)Restricted Access No documents have been attached. Special Instructions No instructions have been specified. |
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Last Modified: 9/15/2023 1:05:45 PM
