Uncertainty about future economic and climate conditions substantially affects the choice of
policies for managing interactions between the climate and the economy. We develop a …

Evidence suggests that several elements of the climate system could be tipped into a
different state by global warming, causing irreversible economic damages. To address their …

We present a flexible and scalable method for computing global solutions of high‐
dimensional stochastic dynamic models. Within a time iteration or value function iteration …

Computational methods are required to solve problems without closed-form solutions in
environmental and resource economics. Efficiency, stability, and accuracy are key elements …

We survey numerical methods that are tractable in dynamic economic models with a finite,
large number of continuous state variables.(Examples of such models are new Keynesian …

We present the implementation of a trust-region Newton algorithm ExaTron for bound-
constrained nonlinear programming problems, fully running on multiple GPUs. Without data …

Dynamic programming is the essential tool in dynamic economic analysis. Problems such as
portfolio allocation for individuals and optimal economic growth are typical examples …

Surplus by-product gas (SBPG) in a steel plant is the difference between gas production and
consumption. Dynamic programming (DP) has been observed to be a useful method for …

We apply numerical dynamic programming to multi-asset dynamic portfolio optimization
problems with proportional transaction costs. Examples include problems with one safe …

This paper introduces a nonlinear certainty‐equivalent approximation method for dynamic
stochastic problems. We first introduce a novel, stable, and efficient method for computing …