Error bounds for a numerical solution for dynamic economic models

Manuel Santos, J. Vigo

Research output: Contribution to journalArticle

8 Citations (Scopus)

Abstract

In this paper, we analyze a discretized version of the dynamic programming algorithm for a parameterized family of infinite-horizon economic models, and derive error bounds for the approximate value and policy functions. If h is the mesh size of the discretization, then the approximation error for the value function is bounded by Mh2, and the approximation error for the policy function is bounded by Nh, where the constants M and N can be estimated from primitive data of the model.

Original languageEnglish (US)
Pages (from-to)41-45
Number of pages5
JournalApplied Mathematics Letters
Volume9
Issue number4
DOIs
StatePublished - Jul 1996
Externally publishedYes

Fingerprint

Economic Model
Approximation Error
Error Bounds
Dynamic Model
Numerical Solution
Economics
Infinite Horizon
Value Function
Dynamic Programming
Discretization
Mesh
Dynamic programming
Policy
Model
Family

Keywords

  • Dynamic programming
  • Error bounds
  • Numerical solutions
  • Value and policy functions

ASJC Scopus subject areas

  • Computational Mechanics
  • Control and Systems Engineering
  • Applied Mathematics
  • Numerical Analysis

Cite this

Error bounds for a numerical solution for dynamic economic models. / Santos, Manuel; Vigo, J.

In: Applied Mathematics Letters, Vol. 9, No. 4, 07.1996, p. 41-45.

Research output: Contribution to journalArticle

@article{7a2ebfa47bd04969b981eeb548ae13c9,
title = "Error bounds for a numerical solution for dynamic economic models",
abstract = "In this paper, we analyze a discretized version of the dynamic programming algorithm for a parameterized family of infinite-horizon economic models, and derive error bounds for the approximate value and policy functions. If h is the mesh size of the discretization, then the approximation error for the value function is bounded by Mh2, and the approximation error for the policy function is bounded by Nh, where the constants M and N can be estimated from primitive data of the model.",
keywords = "Dynamic programming, Error bounds, Numerical solutions, Value and policy functions",
author = "Manuel Santos and J. Vigo",
year = "1996",
month = "7",
doi = "10.1016/0893-9659(96)00049-3",
language = "English (US)",
volume = "9",
pages = "41--45",
journal = "Applied Mathematics Letters",
issn = "0893-9659",
publisher = "Elsevier Limited",
number = "4",

}

TY - JOUR

T1 - Error bounds for a numerical solution for dynamic economic models

AU - Santos, Manuel

AU - Vigo, J.

PY - 1996/7

Y1 - 1996/7

N2 - In this paper, we analyze a discretized version of the dynamic programming algorithm for a parameterized family of infinite-horizon economic models, and derive error bounds for the approximate value and policy functions. If h is the mesh size of the discretization, then the approximation error for the value function is bounded by Mh2, and the approximation error for the policy function is bounded by Nh, where the constants M and N can be estimated from primitive data of the model.

AB - In this paper, we analyze a discretized version of the dynamic programming algorithm for a parameterized family of infinite-horizon economic models, and derive error bounds for the approximate value and policy functions. If h is the mesh size of the discretization, then the approximation error for the value function is bounded by Mh2, and the approximation error for the policy function is bounded by Nh, where the constants M and N can be estimated from primitive data of the model.

KW - Dynamic programming

KW - Error bounds

KW - Numerical solutions

KW - Value and policy functions

UR - http://www.scopus.com/inward/record.url?scp=30244457334&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=30244457334&partnerID=8YFLogxK

U2 - 10.1016/0893-9659(96)00049-3

DO - 10.1016/0893-9659(96)00049-3

M3 - Article

AN - SCOPUS:30244457334

VL - 9

SP - 41

EP - 45

JO - Applied Mathematics Letters

JF - Applied Mathematics Letters

SN - 0893-9659

IS - 4

ER -