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Comparing approximation techniques to continuous-time stochastic dynamic programming problems: Applications to natural resource modelling

Kompas, Thomas; Chu, Hoang Long

Description

Dynamic programming problems are common in economics, finance and natural resource management. However, exact solutions to these problems are exceptional. Instead, solutions typically rely on numerical approximation techniques which vary in use, complexity and computational requirements. Perturbation, projection and linear programming approaches are among the most useful of these numerical techniques. In this paper, we extend the parametric linear programming technique to include...[Show more]

CollectionsANU Research Publications
Date published: 2012
Type: Journal article
URI: http://hdl.handle.net/1885/65160
Source: Environmental Modelling and Software
DOI: 10.1016/j.envsoft.2012.04.002

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