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Approximating closed form solutions to a class of feedback policies

Sandal, Leif Kristoffer
Working paper
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URI
http://hdl.handle.net/11250/163971
Date
2009-09
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  • Discussion papers (FOR) [509]
Abstract
Dynamic optimization problems cover a large class of problems in theoretical and

applied economics. A simple iterative algorithm with fast convergence is proposed. It

is demonstrated that the algorithm in a few steps produce excellent analytic (closed

form) approximations including error bounds to a class of nonlinear problems.The

algorithmic scheme is also well suited to produce numerical solutions. The notions

of dynamic and potential rents are operationalized. The algorithm is utilizing a

relation balancing these concepts. The result is particularly strong in the case of zero

discounting where the exact CU-optimal policy is determined in a single step.

Applying a particular seed in the general convergent scheme reproduces in a simple way results (formulas) published in the last decade in bioeconomics.
Publisher
Norwegian School of Economics and Business Administration. Department of Finance and Management Science
Series
Discussion paper
2009:8

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