Working Paper

Evolutionary programming as a solution technique for the Bellman equation


Abstract: Evolutionary programming is a stochastic optimization procedure that has proved useful in optimizing difficult functions. This paper shows that evolutionary programming can be used to solve the Bellman equation problem with a high degree of accuracy and substantially less CPU time than Bellman equation iteration. Future applications will focus on sometimes binding constraints, a class of problem for which standard solutions techniques are not applicable.

Keywords: Econometric models; Programming (Mathematics);

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Bibliographic Information

Provider: Federal Reserve Bank of Cleveland

Part of Series: Working Papers (Old Series)

Publication Date: 1998

Number: 9816