Example for finite horizon DP problem


#1

Hello,

I am wondering if anyone can share an example for a DP problem with finite horizon.
I’m finding it hard to come across one coded in Julia.


#2

@amrods

This is such a topic, although it might not be what you are looking for:

https://lectures.quantecon.org/jl/short_path.html

If not, please be more specific, as there are many kinds of DP problems.


#3

Thanks, I will take a closer look. However, I was thinking more of an example in Economics, say a growth model, or stochastic cake eating problem.


#4

There should be many many others, but you can find a couple of such examples in Miranda and Fackler, Applied Computational Economics and Finance, MIT press, 2002, Chapters 7 and 8 (see also this website).

Here are notebooks for Sections 7.6.4 and 7.6.6:

(These should be updated with the recently implemented backward_induction method for QuantEcon.DiscreteDP.)