Continuous State Dynamic Programming Via Nonexpansive Approximation
AbstractThis paper studies fitted value iteration for continuous state dynamic programming using nonexpansive function approximators. A number of nonexpansive approximation schemes are discussed. The main contribution is to provide error bounds for approximate optimal policies generated by the value iteration algorithm.
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Bibliographic InfoPaper provided by Kyoto University, Institute of Economic Research in its series KIER Working Papers with number 618.
Date of creation: Apr 2006
Date of revision:
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Postal: Yoshida-Honmachi, Sakyo-ku, Kyoto 606-8501
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Other versions of this item:
- 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.
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-04-29 (All new papers)
- NEP-CMP-2006-04-29 (Computational Economics)
- NEP-DGE-2006-04-29 (Dynamic General Equilibrium)
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