Upper Bounds on Numerical Approximation Errors

Research output: Working paperResearch

Abstract

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.KEYWORDS: Numerical approximation errors, Bellman contractions, Error bounds
Original languageEnglish
Place of PublicationKøbenhavn
Number of pages26
Publication statusPublished - 2004

Cite this

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title = "Upper Bounds on Numerical Approximation Errors",
abstract = "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.KEYWORDS: Numerical approximation errors, Bellman contractions, Error bounds",
keywords = "Line{\ae}re modeller, Numeriske analyser",
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Upper Bounds on Numerical Approximation Errors. / Raahauge, Peter.

København, 2004.

Research output: Working paperResearch

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