| Evolutionary Programming as a Solution Technique for the Bellman Equation (1970) | |||||||||||||||
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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. Keywords: evolutionary programming, bellman equation, value function, computational techniques, stochastic optimization The financial support of the Social Sciences and Humanities Research Council (Canada) is gratefully acknowledged. 1 1. Introduction Stochastic optimization algorithms, like evolutionary programming, genetic algorithms and simulated annealing, have proved useful in solving difficult optimization problems. In this context, a difficult optimization problem might mean: (1) a non-differentiable objective function, (2) m... | |||||||||||||||
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