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| King, Robert P.; Lohano, Heman D.. |
| Dynamic programming models with continuous state and control variables are solved approximately using numerical methods in most applications. We develop a method for measuring the accuracy of numerical solution of stochastic dynamic programming models. Using this method, we compare the accuracy of various interpolation schemes. As expected, the results show that the accuracy improves as number of nodes is increased. Comparison of Chebyshev and linear spline indicates that the linear spline may give higher maximum absolute error than Chebyshev, however, the overall performance of spline interpolation is better than Chebyshev interpolation for non-smooth functions. Two-stage grid search method of optimization is developed and examined with accuracy analysis.... |
| Tipo: Working or Discussion Paper |
Palavras-chave: Research Methods/ Statistical Methods. |
| Ano: 2006 |
URL: http://purl.umn.edu/14230 |
