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Working Paper

Evolutionary Programming as a Solution Technique for the Bellman Equation

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Evolutionary programming is a stochastic optimization procedure which has proved useful in optimizing difficult functions. It is shown that evolutionary programing 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.
10.01.1998ISSN 2573-7953 WP 98-16DOI 10.26509/frbc-wp-199816
Keywords evolutionary programming, bellman equation, value function, computational techniques, stochastic optimization

Working Papers of the Federal Reserve Bank of Cleveland are preliminary materials circulated to stimulate discussion and critical comment on research in progress. They may not have been subject to the formal editorial review accorded official Federal Reserve Bank of Cleveland publications. The views expressed in this paper are those of the authors and do not represent the views of the Federal Reserve Bank of Cleveland or the Federal Reserve System.

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. https://doi.org/10.26509/frbc-wp-199816