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Evolutionary programming as a solution technique for the Bellman equation

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  • Paul Gomme

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.

Suggested Citation

  • Paul Gomme, 1998. "Evolutionary programming as a solution technique for the Bellman equation," Working Papers (Old Series) 9816, Federal Reserve Bank of Cleveland.
    • Handle: RePEc:fip:fedcwp:9816
    DOI: 10.26509/frbc-wp-199816
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    References listed on IDEAS

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    1. Christiano, Lawrence J. & Fisher, Jonas D. M., 2000. "Algorithms for solving dynamic models with occasionally binding constraints," Journal of Economic Dynamics and Control, Elsevier, vol. 24(8), pages 1179-1232, July.
    2. Arifovic, Jasmina, 1995. "Genetic algorithms and inflationary economies," Journal of Monetary Economics, Elsevier, vol. 36(1), pages 219-243, August.
    3. Arifovic, Jasmina, 1996. "The Behavior of the Exchange Rate in the Genetic Algorithm and Experimental Economies," Journal of Political Economy, University of Chicago Press, vol. 104(3), pages 510-541, June.
    4. Gary D. Hansen & Edward C. Prescott, 1992. "Recursive methods for computing equilibria of business cycle models," Discussion Paper / Institute for Empirical Macroeconomics 36, Federal Reserve Bank of Minneapolis.
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    1. Christiano, Lawrence J. & Fisher, Jonas D. M., 2000. "Algorithms for solving dynamic models with occasionally binding constraints," Journal of Economic Dynamics and Control, Elsevier, vol. 24(8), pages 1179-1232, July.
    2. Atila Abdulkadiroglu & Burhanettin Kuruscu & Aysegul Sahin, 2002. "Unemployment Insurance and the Role of Self-Insurance," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 5(3), pages 681-703, July.

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    Keywords

    Programming (Mathematics); Econometric models;

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