Yongyang Cai

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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

RDCEP Publications
Lontzek, Thomas S., Yongyang Cai, and Kenneth L. Judd. "Tipping Points in a Dynamic Stochastic IAM (January 18, 2012)." RDCEP Working Paper No. 12-03.
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, 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).
Daiju Narita et al. "Environmental tipping points significantly affect the cost− benefit assessment of climate policies." Proceedings of the National Academy of Sciences (2015).
Jevgenijs Steinbuks et al. "Optimal Path for Global Land Use under Climate Change Uncertainty." In 2013 Annual Meeting, August 4-6, 2013, Washington, DC, no. 151413. AAEA, 2013.
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.
Cai, Yongyang, Kenneth L. Judd, and Thomas S. Lontzek. Continuous-time methods for integrated assessment models. No. w18365. National Bureau of Economic Research, 2012.
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, et al. 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.
Y Cai et al. The effect of climate and technological uncertainty in crop yields on the optimal path of global land use. 7009, World Bank Policy Research Working Paper Series, 2014.
Yongyang Cai et al. "The Effect of Climate and Technological Uncertainty in Crop Yields on the Optimal Path of global land use." World Bank Policy Research Working Paper 7009 (2014).
Yongyang Cai et al. Environmental tipping points significantly affect the cost-benefit assessment of climate policies. Proceedings of the National Academy of Sciences, 112(15):4606–4611, 2015.
Cai, Yongyang, Kenneth L. Judd, and Thomas S. Lontzek. "Open science is necessary." Nature Climate Change 2, no. 5 (2012): 299-299.
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
Cai, Yongyang, and Kenneth L. Judd. "Advances in numerical dynamic programming and new applications." Handbook of Computational Economics 3. (2014): 479-516.
Cai, Yongyang, and Kenneth L. Judd. "Dynamic Programming with Hermite Interpolation" (June 19, 2012). RDCEP Working Paper No. 12-09.
Yongyang Cai et al. "DSICE: A Dynamic Stochastic Integrated Model of Climate and Economy" (January 18, 2012). RDCEP Working Paper No. 12-02. Available at SSRN: http://dx.doi.org/10.2139/ssrn.
Cai, Yongyang, Kenneth L. Judd, and Thomas S. Lontzek. "Continuous-Time Methods for Integrated Assessment Models" (June 19, 2012). RDCEP Working Paper No. 12-10.
Cai, Yongyang, Kenneth L. Judd, and Thomas S. Lontzek. "The social cost of stochastic and irreversible climate change." No. w18704. National Bureau of Economic Research, 2013.
Cai, Yongyang, and Alan Sanstad. "Model uncertainty and energy technology policy: The example of induced technical change." Working Paper 14-01, RDCEP, April 2014.
Cai, Yongyang, and Kenneth L. Judd. "Dynamic programming with shape-preserving rational spline Hermite interpolation." Economics Letters 117, no. 1 (2012): 161-164.
Cai, Yongyang, and Kenneth L. Judd. "Shape-preserving dynamic programming." Mathematical Methods of Operations Research 77.3 (2013): 407-421.
Cai, Yongyang, Kenneth L. Judd, Greg Thain, and Stephen J. Wright. "Solving dynamic programming problems on a computational grid." Computational Economics. 2014.