The estimation of finite-horizon discrete-choice dynamic programming (DCDP) models is computationally expensive. This limits their realism and impedes verification and validation efforts. Keane and Wolpin (Review of Economics and Statistics, 1994, 76(4), 648-672) propose an interpolation method that ameliorates the computational burden but introduces approximation error. I describe their approach in detail, successfully recompute their original quality diagnostics, and provide some additional insights that underscore the trade-off between computation time and the accuracy of estimation results.
