Upper Bounds on Numerical Approximation Errors

Peter Raahauge

Publikation: Working paperForskning

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Abstrakt

This paper suggests a method for determining rigorous upper bounds on approximationerrors of numerical solutions to infinite horizon dynamic programming models.Bounds are provided for approximations of the value function and the policyfunction as well as the derivatives of the value function. The bounds apply to moregeneral problems than existing bounding methods do. For instance, since strict concavityis not required, linear models and piecewise linear approximations can bedealt with. Despite the generality, the bounds perform well in comparison with existingmethods even when applied to approximations of a standard (strictly concave)growth model.
OriginalsprogEngelsk
Udgivelses stedFrederiksberg
UdgiverInstitut for Finansiering, Copenhagen Business School
Antal sider22
ISBN (Trykt)8790705807
StatusUdgivet - 2004
NavnWorking Papers / Department of Finance. Copenhagen Business School
Nummer2004-4
ISSN0903-0352

Emneord

  • Lineære modeller
  • Numeriske analyser

Citationsformater

Raahauge, P. (2004). Upper Bounds on Numerical Approximation Errors. Frederiksberg: Institut for Finansiering, Copenhagen Business School. Working Papers / Department of Finance. Copenhagen Business School, Nr. 2004-4