Evolutionary Programming as a Solution Technique for the Bellman Equation
Evolutionary programming is a stochastic optimization procedure which has proved useful in optimizing difficult functions. It is shown 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.
Keywords: evolutionary programming, bellman equation, value function, computational techniques, stochastic optimization
Suggested citation: Gomme, Paul, 1998. “Evolutionary Programming as a Solution Technique for the Bellman Equation,” Federal Reserve Bank of Cleveland, Working Paper, no. 98-16.