Upper Bounds on Numerical Approximation Errors

OPEN ARCHIVE

Union Jack
Dannebrog

Upper Bounds on Numerical Approximation Errors

Show simple item record

dc.contributor.author Raahauge, Peter en_US
dc.date.accessioned 2009-02-04T10:26:18Z
dc.date.available 2009-02-04T10:26:18Z
dc.date.issued 2004-09-15T00:00:00Z en_US
dc.identifier.uri http://hdl.handle.net/10398/7171
dc.description.abstract 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 en_US
dc.format.extent 26 s. en_US
dc.language eng en_US
dc.relation.ispartofseries Working paper;2004-004 en_US
dc.subject.other kep en_US
dc.title Upper Bounds on Numerical Approximation Errors en_US
dc.type wp en_US
dc.accessionstatus modt04sep15 miel en_US
dc.contributor.corporation Copenhagen Business School. CBS en_US
dc.contributor.department Institut for Finansiering en_US
dc.contributor.departmentshort FI en_US
dc.contributor.departmentuk Department of Finance en_US
dc.contributor.departmentukshort DF en_US
dc.idnumber x656444133 en_US
dc.publisher.city København en_US
dc.publisher.year 2004 en_US


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

Files Size Format View
2004_4.pdf 376.1Kb PDF View/Open

This item appears in the following Collection(s)

Show simple item record