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.