There is great uncertainty about the impact of anthropogenic carbon on future economic
wellbeing. We use DSICE, a DSGE extension of the DICE2007 model of William Nordhaus …

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

This paper introduces a dynamic stochastic integrated model of climate and economy
(DSICE), and a numerical dynamic programming algorithm for its solution. More specifically …

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 …

This thesis explores theoretical, computational, and practical aspects of convex (shape-
constrained) regression, providing new excess risk upper bounds, a comparison of convex …

We are interested in the potential risk of short-term load imbalance in hydro-thermal power
systems under high integration of renewable energy sources, including wind, solar, and …

We implement a dynamic programming algorithm on a computational grid consisting of
loosely coupled processors, possibly including clusters and individual workstations. The grid …

We introduce a new method to price American options based on Chebyshev interpolation. In
each step of a dynamic programming time-stepping we approximate the value function with …

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

We propose to combine smoothing, simulations and sieve approximations to solve for either
the integrated or expected value function in a general class of dynamic discrete choice …