Shape-preserving dynamic programming (Q2392821)

The authors propose a general shape-preserving approximation approach and apply it to numerical dynamic programming. They demonstrate how their approach works using a discrete-time optimal growth problem [\textit{K. L. Judd}, Numerical methods in economics. Cambridge, MA: MIT Press (1998; Zbl 0924.65001)] and a multi-stage portfolio optimization problem. The examples show the stability and accuracy advantages of the proposed method.