Fitted Value Function Iteration With Probability One Contractions
AbstractThis paper studies a value function iteration algorithm that can be applied to almost all stationary dynamic programming problems. Using nonexpansive function approximation and Monte Carlo integration, we develop a randomized fitted Bellman operator and a corresponding algorithm that is globally convergent with probability one. When additional restrictions are imposed, an OP(n-1/2) rate of convergence for Monte Carlo error is obtained.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Australian National University, College of Business and Economics, School of Economics in its series ANU Working Papers in Economics and Econometrics with number 2011-560.
Length: 22 Pages
Date of creation: Oct 2011
Date of revision:
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-10-22 (All new papers)
- NEP-CIS-2011-10-22 (Confederation of Independent States)
- NEP-CMP-2011-10-22 (Computational Economics)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- V. Filipe Martins-da-Rocha & Yiannis Vailakis, 2010.
"Existence and Uniqueness of a Fixed Point for Local Contractions,"
Econometric Society, vol. 78(3), pages 1127-1141, 05.
- Vailakis, Yiannis & Martins-da-Rocha, Victor Filipe, 2008. "Existence and Uniqueness of a Fixed-Point for Local Contractions," Economics Working Papers (Ensaios Economicos da EPGE) 677, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
- Fukushima, Kenichi & Waki, Yuichiro, 2013.
"A polyhedral approximation approach to concave numerical dynamic programming,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 37(11), pages 2322-2335.
- Yuichiro Waki & Kenichi Fukushima, 2011. "A polyhederal approximation approach to concave numerical dynamic programming," 2011 Meeting Papers 689, Society for Economic Dynamics.
- Marimon, Ramon & Scott, Andrew (ed.), 2001. "Computational Methods for the Study of Dynamic Economies," OUP Catalogue, Oxford University Press, number 9780199248278.
- Juan Pablo RincÛn-Zapatero & Carlos RodrÌguez-Palmero, 2003. "Existence and Uniqueness of Solutions to the Bellman Equation in the Unbounded Case," Econometrica, Econometric Society, vol. 71(5), pages 1519-1555, 09.
- Alan C. Stockman & Linda L. Tesar, 1991.
"Tastes and technology in a two-country model of the business cycle: explaining international co-movements,"
9019, Federal Reserve Bank of Cleveland.
- Stockman, Alan C & Tesar, Linda L, 1995. "Tastes and Technology in a Two-Country Model of the Business Cycle: Explaining International Comovements," American Economic Review, American Economic Association, vol. 85(1), pages 168-85, March.
- Alan C. Stockman & Linda L. Tesar, 1995. "Tastes and Technology in a Two-Country Model of the Business Cycle: Explaining International Comovements," NBER Working Papers 3566, National Bureau of Economic Research, Inc.
- John Stachurski, 2006.
"Continuous State Dynamic Programming Via Nonexpansive Approximation,"
KIER Working Papers
618, Kyoto University, Institute of Economic Research.
- John Stachurski, 2008. "Continuous State Dynamic Programming via Nonexpansive Approximation," Computational Economics, Society for Computational Economics, vol. 31(2), pages 141-160, March.
- John Stachurski, 2006. "Continuous State Dynamic Programming via Nonexpansive Approximation," Department of Economics - Working Papers Series 961, The University of Melbourne.
- Eva Carceles Poveda & Arpad Abraham, 2004.
"Endogenous Trading Constraints with Incomplete Asset Markets,"
2004 Meeting Papers
667, Society for Economic Dynamics.
- Ábrahám, Árpád & Cárceles-Poveda, Eva, 2010. "Endogenous trading constraints with incomplete asset markets," Journal of Economic Theory, Elsevier, vol. 145(3), pages 974-1004, May.
- Josep Pijoan-Mas, 2004.
"Precautionary Savings or Working Longer Hours?,"
2004 Meeting Papers
350, Society for Economic Dynamics.
- John Stachurski, 2009. "Economic Dynamics: Theory and Computation," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262012774.
- Longstaff, Francis A & Schwartz, Eduardo S, 2001. "Valuing American Options by Simulation: A Simple Least-Squares Approach," University of California at Los Angeles, Anderson Graduate School of Management qt43n1k4jb, Anderson Graduate School of Management, UCLA.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().
If references are entirely missing, you can add them using this form.