Open oyamad opened 6 years ago
Given that we require users to pass in functions for f
and g
, we should be able to use automatic differentiation exactly and efficiently calculate the derivatives of f
and g
.
I think Optim has this functionality built in
Thanks, I didn't think about automatic differentiation. (And I have no experience with that.)
Now a derivative free bounded univariate optimization function
Optim.optimize
(Brent()
) is used to compute the max in the Bellman operator. This part should be the main bottleneck. It will be more efficient if we utilize information on 1st and 2nd derivatives off
andg
.Options: in
ContinuousDP
,ContinuousDP
has derivatives.