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book chapter · The New Palgrave Dictionary of Economics · 2018

Dynamic Programming

John Rust

Cited by 3Abstract and details only

Abstract

This article reviews the history and theory of dynamic programming (DP), a recursive method of solving sequential decision problems under uncertainty. It discusses computational algorithms for the numerical solution of DP problems, and an important limitation in our ability to solve realistic large-scale dynamic programming problems, the ‘curse of dimensionality’. It also summarizes recent research in complexity theory that delineates situations where the curse can be broken (allowing us to solve DPs using fast polynomial time algorithms), and situations where it is insuperable. The literature on econometric estimation and testing of DP models is reviewed, as is another ‘scientific limit to knowledge’, namely, the identification problem.

Cite this paper

APA 7

Rust, J. (2018). Dynamic Programming. The New Palgrave Dictionary of Economics, 3133–3158. https://doi.org/10.1057/978-1-349-95189-5_1932

MLA 9

Rust, John. “Dynamic Programming.” The New Palgrave Dictionary of Economics, 2018, pp. 3133–58, https://doi.org/10.1057/978-1-349-95189-5_1932.

Chicago

Rust, John. 2018. “Dynamic Programming.” The New Palgrave Dictionary of Economics: 3133–58. https://doi.org/10.1057/978-1-349-95189-5_1932.

Harvard

Rust, J. (2018) ‘Dynamic Programming’, The New Palgrave Dictionary of Economics, pp. 3133–3158. Available at: https://doi.org/10.1057/978-1-349-95189-5_1932.

BibTeX
@incollection{rust2018dynamic,
  title = {{Dynamic Programming}},
  author = {Rust, John},
  booktitle = {The New Palgrave Dictionary of Economics},
  pages = {3133--3158},
  year = {2018},
  doi = {10.1057/978-1-349-95189-5_1932}
}

Made from the index record. Check names, capitalisation and page numbers against the paper. Need another style? AI for Research has over 10,000.

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