{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2022,3,31]],"date-time":"2022-03-31T07:22:32Z","timestamp":1648711352976},"reference-count":43,"publisher":"Springer Science and Business Media LLC","issue":"3","license":[{"start":{"date-parts":[[2015,2,13]],"date-time":"2015-02-13T00:00:00Z","timestamp":1423785600000},"content-version":"tdm","delay-in-days":0,"URL":"http:\/\/www.springer.com\/tdm"}],"content-domain":{"domain":["link.springer.com"],"crossmark-restriction":false},"short-container-title":["Math Meth Oper Res"],"published-print":{"date-parts":[[2015,6]]},"DOI":"10.1007\/s00186-015-0495-z","type":"journal-article","created":{"date-parts":[[2015,2,12]],"date-time":"2015-02-12T19:26:43Z","timestamp":1423769203000},"page":"245-267","update-policy":"http:\/\/dx.doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":12,"title":["Dynamic programming with Hermite approximation"],"prefix":"10.1007","volume":"81","author":[{"given":"Yongyang","family":"Cai","sequence":"first","affiliation":[]},{"given":"Kenneth L.","family":"Judd","sequence":"additional","affiliation":[]}],"member":"297","published-online":{"date-parts":[[2015,2,13]]},"reference":[{"key":"495_CR1","doi-asserted-by":"crossref","first-page":"386","DOI":"10.1016\/j.jedc.2010.10.001","volume":"35","author":"EM Aldrich","year":"2011","unstructured":"Aldrich EM, Fernandez-Villaverde J, Gallant AR, Rubio- Ramrez JF (2011) Tapping the supercomputer under your desk: solving dynamic equilibrium models with graphics processors. J Econ Dyn Control 35:386\u2013393","journal-title":"J Econ Dyn Control"},{"key":"495_CR2","volume-title":"Dynamic programming","author":"R Bellman","year":"1957","unstructured":"Bellman R (1957) Dynamic programming. Princeton University Press, Princeton"},{"key":"495_CR3","volume-title":"Dynamic programming and optimal control","author":"D Bertsekas","year":"2005","unstructured":"Bertsekas D (2005) Dynamic programming and optimal control, vol 1. Athena Scientific, Belmont"},{"key":"495_CR4","volume-title":"Dynamic programming and optimal control","author":"D Bertsekas","year":"2007","unstructured":"Bertsekas D (2007) Dynamic programming and optimal control, vol 2. Athena Scientific, Belmont"},{"key":"495_CR5","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1007\/BFb0121223","volume":"20","author":"JJ Bisschop","year":"1982","unstructured":"Bisschop JJ, Meeraus A (1982) On the development of a general algebraic modeling system in a strategic planning environment. Math Program Stud 20:1\u201329","journal-title":"Math Program Stud"},{"key":"495_CR6","unstructured":"Brooke A, Kendrick D, Meeraus A, Raman R (1997) GAMS language guide. Technical report, GAMS Development Corporation"},{"key":"495_CR7","doi-asserted-by":"crossref","unstructured":"Byrd RH, Nocedal J, Waltz RA (2006) KNITRO: an integrated package for nonlinear optimization. http:\/\/www.ziena.com\/papers\/integratedpackage . Technical report, Ziena","DOI":"10.1007\/0-387-30065-1_4"},{"key":"495_CR8","unstructured":"Cai Y (2010) Dynamic programming and its application in economics and finance. PhD thesis, Stanford University"},{"issue":"1","key":"495_CR9","doi-asserted-by":"crossref","first-page":"161","DOI":"10.1016\/j.econlet.2012.05.004","volume":"117","author":"Y Cai","year":"2012","unstructured":"Cai Y, Judd KL (2012) Dynamic programming with shape-preserving rational spline Hermite interpolation. Econ Lett 117(1):161\u2013164","journal-title":"Econ Lett"},{"issue":"3","key":"495_CR10","doi-asserted-by":"crossref","first-page":"407","DOI":"10.1007\/s00186-012-0406-5","volume":"77","author":"Y Cai","year":"2013","unstructured":"Cai Y, Judd KL (2013) Shape-preserving dynamic programming. Math Methods Oper Res 77(3):407\u2013421","journal-title":"Math Methods Oper Res"},{"key":"495_CR11","volume-title":"Handbook of computational economics","author":"Y Cai","year":"2014","unstructured":"Cai Y, Judd KL (2014) Advances in numerical dynamic programming and new applications. Chapter 8. In: Schmedders Karl, Judd Kenneth L (eds) Handbook of computational economics, vol 3. Elsevier, Amsterdam"},{"key":"495_CR12","doi-asserted-by":"crossref","unstructured":"Cai Y, Judd KL, Lontzek TS (2013) The social cost of stochastic and irreversible climate change. NBER working paper 18704","DOI":"10.3386\/w18704"},{"key":"495_CR13","doi-asserted-by":"crossref","unstructured":"Cai Y, Judd KL, Xu R (2013) Numerical solution of dynamic portfolio optimization with transaction costs. NBER working paper No. 18709","DOI":"10.3386\/w18709"},{"key":"495_CR14","doi-asserted-by":"crossref","unstructured":"Cai Y, Judd KL, Thain G, Wright S (2015) Solving dynamic programming problems on computational grid. Comput Econ 45(2):261\u2013284","DOI":"10.1007\/s10614-014-9419-x"},{"issue":"2","key":"495_CR15","doi-asserted-by":"crossref","first-page":"491","DOI":"10.1093\/rfs\/hhi017","volume":"18","author":"JF Cocco","year":"2005","unstructured":"Cocco JF, Gomes FJ, Maenhout PJ (2005) Consumption and portfolio choice over the life cycle. Rev Financ Stud 18(2):491\u2013533","journal-title":"Rev Financ Stud"},{"key":"495_CR16","doi-asserted-by":"crossref","first-page":"68","DOI":"10.1109\/99.714603","volume":"5","author":"J Czyzyk","year":"1998","unstructured":"Czyzyk J, Mesnier MP, Mor\u00e9 JJ (1998) The NEOS server. IEEE Comput Sci Eng 5:68\u201375","journal-title":"IEEE Comput Sci Eng"},{"key":"495_CR17","doi-asserted-by":"crossref","first-page":"175","DOI":"10.1016\/j.jedc.2010.09.010","volume":"35","author":"WJ Haan Den","year":"2011","unstructured":"Den Haan WJ, Judd KL, Juillard M (2011) Computational suite of models with heterogeneous agents II:multi-country real business cycle models. J Econ Dyn Control 35:175\u2013177","journal-title":"J Econ Dyn Control"},{"issue":"4","key":"495_CR18","doi-asserted-by":"crossref","first-page":"525","DOI":"10.1287\/ijoc.1080.0264","volume":"20","author":"ED Dolan","year":"2008","unstructured":"Dolan ED, Fourer R, Goux JP, Munson TS, Sarich J (2008) Kestrel: an interface from optimization modeling systems to the NEOS server. INFORMS J Comput 20(4):525\u2013538","journal-title":"INFORMS J Comput"},{"key":"495_CR19","volume-title":"CONOPT: a system for large scale nonlinear optimization","author":"AS Drud","year":"1996","unstructured":"Drud AS (1996) CONOPT: a system for large scale nonlinear optimization. ARKI Consulting and Development A\/S, Bagsvaerd"},{"key":"495_CR20","doi-asserted-by":"crossref","first-page":"519","DOI":"10.1287\/mnsc.36.5.519","volume":"36","author":"R Fourer","year":"1990","unstructured":"Fourer R, Gay DM, Kernighan BW (1990) A modeling language for mathematical programming. Manag Sci 36:519\u2013554","journal-title":"Manag Sci"},{"key":"495_CR21","volume-title":"AMPL: a modeling language for mathematical programming","author":"R Fourer","year":"2003","unstructured":"Fourer R, Gay DM, Kernighan BW (2003) AMPL: a modeling language for mathematical programming, 2nd edn. Duxbury Press, Pacific Grove","edition":"2"},{"key":"495_CR22","unstructured":"Gill P, Murray W, Saunders MA, Wright MH (1994) User\u2019s Guide for NPSOL 5.0: a Fortran Package for Nonlinear Programming. Technical report, SOL, Stanford University"},{"issue":"1","key":"495_CR23","doi-asserted-by":"crossref","first-page":"99","DOI":"10.1137\/S0036144504446096","volume":"47","author":"P Gill","year":"2005","unstructured":"Gill P, Murray W, Saunders MA (2005) SNOPT: an SQP algorithm for largescale constrained optimization. SIAM Rev 47(1):99\u2013131","journal-title":"SIAM Rev"},{"issue":"255","key":"495_CR24","doi-asserted-by":"crossref","first-page":"1259","DOI":"10.1090\/S0025-5718-06-01865-5","volume":"75","author":"M Griebel","year":"2006","unstructured":"Griebel M, Wozniakowski H (2006) On the optimal convergence rate of universal and nonuniversal algorithms for multivariate integration and approximation. Math Comput 75(255):1259\u20131286","journal-title":"Math Comput"},{"key":"495_CR25","first-page":"167","volume-title":"Approximation theory and optimization: tributes to M. J. D. Powell","author":"W Gropp","year":"1997","unstructured":"Gropp W, Mor\u00e9 JJ (1997) Optimization environments and the NEOS server. In: Buhmann MD, Iserles A (eds) Approximation theory and optimization: tributes to M. J. D. Powell. Cambridge University Press, Cambridge, UK, pp 167\u2013182"},{"issue":"1\/2","key":"495_CR26","doi-asserted-by":"crossref","first-page":"91","DOI":"10.1007\/s10589-005-2055-6","volume":"32","author":"A Gupta","year":"2005","unstructured":"Gupta A, Murray W (2005) A framework algorithm to compute optimal asset allocation for retirement with behavioral utilities. Comput Optim Appl 32(1\/2):91\u2013113","journal-title":"Comput Optim Appl"},{"key":"495_CR27","doi-asserted-by":"crossref","unstructured":"Infanger G (2006) Dynamic asset allocation strategies using a stochastic dynamic programming approach. Chapter 5. In: Zenios SA, Ziemba WT (Eds) Handbook of asset and liability management, volume 1, North Holland","DOI":"10.1016\/S1872-0978(06)01005-2"},{"key":"495_CR28","volume-title":"Numerical methods in economics","author":"KL Judd","year":"1998","unstructured":"Judd KL (1998) Numerical methods in economics. The MIT Press, Cambridge"},{"key":"495_CR29","doi-asserted-by":"crossref","first-page":"173","DOI":"10.3982\/QE14","volume":"2","author":"KL Judd","year":"2011","unstructured":"Judd KL, Maliar L, Maliar S (2011) Numerically stable and accurate stochastic simulation approaches for solving dynamic economic models. Quant Econ 2:173\u2013210","journal-title":"Quant Econ"},{"key":"495_CR30","doi-asserted-by":"crossref","first-page":"178","DOI":"10.1016\/j.jedc.2010.09.011","volume":"35","author":"M Juillard","year":"2011","unstructured":"Juillard M, Villemot S (2011) Multi-country real business cycle models: accuracy tests and test bench. J Econ Dyn Control 35:178\u2013185","journal-title":"J Econ Dyn Control"},{"key":"495_CR31","doi-asserted-by":"crossref","first-page":"229","DOI":"10.1016\/j.jedc.2010.09.015","volume":"35","author":"BA Malin","year":"2011","unstructured":"Malin BA, Krueger D, Kubler F (2011) Solving the multi-country real business cycle model using a Smolyak-collocation method. J Econ Dyn Control 35:229\u2013239","journal-title":"J Econ Dyn Control"},{"key":"495_CR32","unstructured":"McCarl B, et al. (2011) McCarl expanded GAMS user guide, version 23.6. http:\/\/www.gams.com\/mccarl\/mccarlhtml\/ . Accessed 06 Sept 2012"},{"key":"495_CR33","unstructured":"Murtagh BA, Saunders MA (2003) MINOS 5.51 User\u2019s Guide. http:\/\/www.stanford.edu\/group\/SOL\/guides\/minos551 . Technical report, SOL, Stanford University"},{"issue":"3","key":"495_CR34","doi-asserted-by":"crossref","first-page":"398","DOI":"10.1287\/opre.49.3.398.11219","volume":"49","author":"CR Philbrick","year":"2001","unstructured":"Philbrick CR, Kitanidis PK (2001) Improved dynamic programming methods for optimal control of lumped parameter stochastic systems. Oper Res 49(3):398\u2013412","journal-title":"Oper Res"},{"key":"495_CR35","doi-asserted-by":"crossref","DOI":"10.1002\/9780470182963","volume-title":"Approximate dynamic programming: solving the curses of dimensionality","author":"WB Powell","year":"2007","unstructured":"Powell WB (2007) Approximate dynamic programming: solving the curses of dimensionality. Wiley Interscience, Hoboken"},{"key":"495_CR36","unstructured":"Powell WB, Van Roy B (2004) Approximate dynamic programming for high-dimensional dynamic resource allocation problems. Chapter 10. In: Si J, Barto AG, Powell W, Wunsch D (Eds) Handbook of learning and approximate dynamic programming. Wiley-IEEE Press, Hoboken, NJ"},{"key":"495_CR37","volume-title":"Chebyshev polynomials: from approximation theory to algebra and number theory","author":"TJ Rivlin","year":"1990","unstructured":"Rivlin TJ (1990) Chebyshev polynomials: from approximation theory to algebra and number theory. Wiley Interscience, New York"},{"issue":"3","key":"495_CR38","doi-asserted-by":"crossref","first-page":"487","DOI":"10.2307\/2171751","volume":"65","author":"J Rust","year":"1997","unstructured":"Rust J (1997) Using randomization to break the curse of dimensionality. Econometrica 65(3):487\u2013516","journal-title":"Econometrica"},{"key":"495_CR39","volume-title":"New palgrave dictionary of economics","author":"J Rust","year":"2008","unstructured":"Rust J (2008) Dynamic programming. In: Durlauf Steven N, Blume Lawrence E (eds) New palgrave dictionary of economics, 2nd edn. Palgrave Macmillan, Basingstoke","edition":"2"},{"issue":"1","key":"495_CR40","doi-asserted-by":"crossref","first-page":"285","DOI":"10.1111\/1468-0262.00276","volume":"70","author":"J Rust","year":"2002","unstructured":"Rust J, Traub JF, Wozniakowski H (2002) Is there a curse of dimensionality for contraction fixed points in the worst case? Econometrica 70(1):285\u2013329","journal-title":"Econometrica"},{"key":"495_CR41","doi-asserted-by":"crossref","first-page":"854","DOI":"10.1137\/0720057","volume":"20","author":"L Schumaker","year":"1983","unstructured":"Schumaker L (1983) On shape-preserving quadratic spline interpolation. SIAM J Numer Anal 20:854\u2013864","journal-title":"SIAM J Numer Anal"},{"key":"495_CR42","doi-asserted-by":"crossref","first-page":"255","DOI":"10.1017\/S1365100597002095","volume":"1","author":"MA Trick","year":"1997","unstructured":"Trick MA, Zin SE (1997) Spline approximations to value functions\u2013linear programming approach. Macroecon Dyn 1:255\u2013277","journal-title":"Macroecon Dyn"},{"issue":"5","key":"495_CR43","doi-asserted-by":"crossref","first-page":"399","DOI":"10.1016\/S0305-0548(99)00044-1","volume":"27","author":"SP Wang","year":"2000","unstructured":"Wang SP, Judd KL (2000) Solving a savings allocation problem by numerical dynamic programming with shape-preserving interpolation. Comput Oper Res 27(5):399\u2013408","journal-title":"Comput Oper Res"}],"container-title":["Mathematical Methods of Operations Research"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s00186-015-0495-z.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/article\/10.1007\/s00186-015-0495-z\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s00186-015-0495-z","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,8,20]],"date-time":"2019-08-20T22:14:49Z","timestamp":1566339289000},"score":1,"resource":{"primary":{"URL":"http:\/\/link.springer.com\/10.1007\/s00186-015-0495-z"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2015,2,13]]},"references-count":43,"journal-issue":{"issue":"3","published-print":{"date-parts":[[2015,6]]}},"alternative-id":["495"],"URL":"https:\/\/doi.org\/10.1007\/s00186-015-0495-z","relation":{},"ISSN":["1432-2994","1432-5217"],"issn-type":[{"value":"1432-2994","type":"print"},{"value":"1432-5217","type":"electronic"}],"subject":[],"published":{"date-parts":[[2015,2,13]]}}}