Using ddp solve for optimization over two variables

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Prerna Mishra
Prerna Mishra 2022년 7월 1일
댓글: Torsten 2022년 7월 1일
I have a dynamic programming model, in which the Value of firm today depends on the productivity shock today, capital today, capital tomorrow and debt level. I have to maximize the firm value and therefore find the optimal levels of capital and debt that maximize this value. The shock follows a log normal process. Is it possible to use ddpsolve to solve this problem? I am confused because I have to optimize over two variables and I haven't found any example does does so.
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Matt J
Matt J 2022년 7월 1일
편집: Matt J 2022년 7월 1일
Is it possible to use ddpsolve to solve this problem?
Maybe, but ddpsolve is not a native Matlab function, so no one here is likely to be familiar with it. Some 3rd party function, I'm assuming.
Torsten
Torsten 2022년 7월 1일
This sounds like a stochastic optimization problem. I don't know about ddpsolve, but are you sure that the code is able to solve such problems ?

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