Upper Bounds on Numerical Approximation Errors

OPEN ARCHIVE

Union Jack
Dannebrog

Upper Bounds on Numerical Approximation Errors

Vis flere oplysninger

Titel: Upper Bounds on Numerical Approximation Errors
Forfatter: Raahauge, Peter
Resume: This paper suggests a method for determining rigorous upper bounds on approximation errors of numerical solutions to infinite horizon dynamic programming models. Bounds are provided for approximations of the value function and the policy function as well as the derivatives of the value function. The bounds apply to more general problems than existing bounding methods do. For instance, since strict concavity is not required, linear models and piecewise linear approximations can be dealt with. Despite the generality, the bounds perform well in comparison with existing methods even when applied to approximations of a standard (strictly concave) growth model. KEYWORDS: Numerical approximation errors, Bellman contractions, Error bounds
URI: http://hdl.handle.net/10398/7171
Dato: 2004-09-15

Creative Commons License This work is licensed under a Creative Commons License.

Filer Størrelse Format Vis
2004_4.pdf 376.1Kb PDF Vis/Åbn

Dette dokument findes i følgende samling(er)

Vis flere oplysninger