Numerical Dynamic Programming in Economics

• exposé

Numerical Dynamic Programming in Economics John Rust Yale University Contents 1 1. Introduction 2. Markov Decision Processes (MDP's) and the Theory of Dynamic Programming 2.1 Definitions of MDP's, DDP's, and CDP's 2.2 Bellman's Equation, Contraction Mappings, and Blackwell's Theorem 2.3 Error Bounds for Approximate Fixed Points of Approximate Bellman Operators 2.4 A Geometric Series Representation for MDP's 2.5 Examples of Analytic Solutions to Bellman's Equation for Specific “Test Problems” 2.6 Euler Equations and Euler Operators 3.

• mdp problem
• smooth approximation methods
• continuous mdp
• discrete approximation methods
• pair of functions of the current state
• numerical methods
• solution
• problems
• state
• problem