Chow's method of optimal control

Michael Reiter

Research output: Contribution to journalArticle

Abstract

The note investigates the numerical properties of the method proposed by Chow (1993) to solve stochastic dynamic optimization problems. The results are compared to the standard method of linear quadratic approximation. The properties of these approximation schemes under heteroskedastic noise are examined.

Original languageEnglish (US)
Pages (from-to)723-737
Number of pages15
JournalJournal of Economic Dynamics and Control
Volume21
Issue number4-5
DOIs
StatePublished - May 1997

Keywords

  • Dynamic programming
  • Growth model
  • Linear quadratic approximations

ASJC Scopus subject areas

  • Economics and Econometrics
  • Control and Optimization
  • Applied Mathematics

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