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Provedor de dados:  AgEcon
País:  United States
Título:  A Comparison of Parametric Approximation Techniques to Continuous-Time Stochastic Dynamic Programming Problems
Autores:  Kompas, Tom
Chu, Long
Data:  2010-10-21
Ano:  2010
Palavras-chave:  Stochastic dynamic programming
Parametric approximation
Perturbation
Projection
Linear programming
Optimal fishing
Marine reserves
Research Methods/ Statistical Methods
Resource /Energy Economics and Policy
C61
C63
Q22
Resumo:  We compare three parametric techniques to approximate Hamilton-Jacobi-Bellman equations via unidimensional and multidimensional problems. The linear programming technique is very efficient for unidimensional problems and offers a balance of speed and accuracy for multidimensional problems. A comparable projection technique is shown to be slow, but has stable accuracy, whereas a perturbation technique has the least accuracy although its speed suffers least from the curse of dimensionality. The linear programming technique is also shown to be suitable for problems in resource management, including applications to biosecurity and marine reserve design.
Tipo:  Journal Article
Idioma:  Inglês
Identificador:  http://purl.umn.edu/95044
Relação:  Australian National University>Environmental Economics Research Hub>Research Reports
Environmental Economics Research Hub Research Reports
71
Formato:  33
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