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A Comment on “Using Randomization to Break the Curse of Dimensionality”

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  • Robert L. Bray

Abstract

Rust (1997b) discovered a class of dynamic programs that can be solved in polynomial time with a randomized algorithm. For these dynamic programs, the optimal values of a polynomially large sample of states are sufficient statistics for the (near) optimal values everywhere, and the values of this random sample can be bootstrapped from the sample itself. However, I show that this class is limited, as it requires all but a vanishingly small fraction of state variables to behave arbitrarily similarly to i.i.d. uniform random variables.

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  • Robert L. Bray, 2022. "A Comment on “Using Randomization to Break the Curse of Dimensionality”," Econometrica, Econometric Society, vol. 90(4), pages 1915-1929, July.
    • Handle: RePEc:wly:emetrp:v:90:y:2022:i:4:p:1915-1929
    DOI: 10.3982/ECTA17664
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