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Fitted value function iteration with probability one contractions

  • Pál, Jenő
  • Stachurski, John
Registered author(s):

    This paper studies a value function iteration algorithm based on nonexpansive function approximation and Monte Carlo integration that can be applied to almost all stationary dynamic programming problems. The method can be represented using a randomized fitted Bellman operator and a corresponding algorithm that is shown to be globally convergent with probability one. When additional restrictions are imposed, an OP(n−1/2) rate of convergence for Monte Carlo error is obtained.

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    File URL: http://www.sciencedirect.com/science/article/pii/S0165188912001728
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    Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

    Volume (Year): 37 (2013)
    Issue (Month): 1 ()
    Pages: 251-264

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    Handle: RePEc:eee:dyncon:v:37:y:2013:i:1:p:251-264
    Contact details of provider: Web page: http://www.elsevier.com/locate/jedc

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