Dynamic Programming with Hermite Interpolation

Yongyang Cai, Kenneth L. Judd
2012 Social Science Research Network  
Numerical dynamic programming algorithms typically use Lagrange data to approximate value functions. This paper uses Hermite data obtained from the optimization step and applies Hermite interpolation to construct approximate value functions. Several examples show that Hermite interpolation significantly improves the accuracy of value function iteration with very little extra cost.
doi:10.2139/ssrn.2087677 fatcat:yw736oamrvf33pp7frq4673tdu