Numerical Dynamic Programming in Economics

Yale University, 167 pages.Introduction
Markov Decision Processes (MDP’s) and the Theory of Dynamic Programming
Definitions of MDP’s, DDP’s, and CDP’s
Bellman’s Equation, Contraction Mappings, and Blackwell’s Theorem
Error Bounds for Approximate Fixed Points of Approximate Bellman Operators
A Geometric Series Representation for MDP’s
Examples of Analytic Solutions to Bellman’s Equation for Specific Test Problems
Euler Equations and Euler Operators
Computational Complexity and Optimal Algorithms
Discrete Computational Complexity
Continuous Computational Complexity
Computational Complexity of the Approximation Problem
Numerical Methods for Contraction Fixed Points
Numerical Methods for MDP’s
Discrete Finite Horizon MDP’s
Discrete Infinite Horizon MDP’s
Continuous Finite Horizon MDP’s
Continuous Infinite Horizon MDP’s
Conclusions