Approximating closed form solutions to a class of feedback policies
Working paper
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http://hdl.handle.net/11250/163971Utgivelsesdato
2009-09Metadata
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Sammendrag
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.
Utgiver
Norwegian School of Economics and Business Administration. Department of Finance and Management ScienceSerie
Discussion paper2009:8