Yongyang Cai
/ Alison Brizius
Senior Research Scientist, Becker Friedman Institute, University of Chicago
Visiting the Hoover Institution, Stanford University
Areas of Expertise:
- Dynamic programming and numerical methods
- Algorithms and applications of mathematical programming in economics, finance and climate change
Cai's research focuses on numerical dynamic programming and its applications in economics, finance and climate change. He has developed several numerical dynamic programming algorithms and a software package for high-dimensional dynamic programming problems with both continuous and discrete states and controls. Examples include optimal growth problems and dynamic portfolio optimization problems. He is currently working on applications of numerical dynamic programming algorithms for solving integrated assessment models of climate and economics with uncertainty.
Cai completed his PhD in 2010 at the Institute for Computational & Mathematical Engineering at Stanford University.
Research Projects
Dynamic stochastic integrated assessment modeling | FABLE | | DSICE | Model uncertainty and energy technology policy
Thomas S. Lontzek, Yongyang Cai, Kenneth L Judd, and Timothy M. Lenton. Stochastic integrated assessment of climate tipping points indicates the need for strict climate policy. Nature Clim. Change, (5):441–444, 05 2015.
Lontzek, Thomas S., Yongyang Cai, and Kenneth L. Judd, and Timothy M. Lenton. "Stochastic integrated assessment of climate tipping points calls for strict climate policy." Nature (2015).
Narita, Daiju, Yongyang Cai, Timothy M. Lenton, and Thomas S. Lontzek. "Environmental tipping points significantly affect the cost− benefit assessment of climate policies." Proceedings of the National Academy of Sciences (2015).
Yongyang Cai and Alan H Sanstad. Model uncertainty and energy technology policy: The example of induced technical change. Computers & Operations Research, 66:362–373, 2016.
Cai, Yongyang, and Kenneth L. Judd. "Dynamic programming with Hermite approximation. Mathematical Methods of Operations Research," 81:245–267, 2015.
Yongyang Cai, Kenneth L Judd, and Thomas S Lontzek. The social cost of carbon with economic and climate risks. Technical report, arXiv preprint, 2015. arXiv:1504.06909.
Y. Cai, J.W. Elliott J. Steinbuks, K.L. Judd, and T.W. Hertel. The effect of uncertainty in crop yields on the optimal path of global land use. R&R in Journal of Environmental Economics and Management, 2016.
Yongyang Cai, Jevgenijs Steinbuks, Joshua Elliott, and Thomas W Hertel. The effect of climate and technological uncertainty in crop yields on the optimal path of global land use. Working Paper 7009, World Bank Policy Research Working Paper Series, 2014.
Yongyang Cai, Kenneth L Judd, Timothy M Lenton, Thomas S Lontzek, and Daiju Narita. Environmental tipping points significantly affect the cost-benefit assessment of climate policies. Proceedings of the National Academy of Sciences, 112(15):4606–4611, 2015.
Yongyang Cai and Kenneth L Judd. Dynamic programming with hermite approximation. Mathematical Methods of Operations Research, pages 1–23, 2015.
Y. Cai, K.L. Judd, and J. Steinbuks. A nonlinear certainty equivalent approximation method for dynamic stochastic problems. forthcoming in Quantitative Economics, 2016.
