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Continuous State Dynamic Programming Via Nonexpansive Approximation

  • John Stachurski

    ()

    (Department of Economics, University of Melbourne)

This 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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File URL: http://www.kier.kyoto-u.ac.jp/DP/DP618.pdf
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Paper provided by Kyoto University, Institute of Economic Research in its series KIER Working Papers with number 618.

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Length: 24pages
Date of creation: Apr 2006
Date of revision:
Handle: RePEc:kyo:wpaper:618
Contact details of provider: Postal: Yoshida-Honmachi, Sakyo-ku, Kyoto 606-8501
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Web page: http://www.kier.kyoto-u.ac.jp/eng/index.html
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  8. S. Boragan Aruoba & Jesus Fernandez-Villaverde & Juan Francisco Rubio-Ramirez, 2003. "Comparing solution methods for dynamic equilibrium economies," Working Paper 2003-27, Federal Reserve Bank of Atlanta.
  9. Wilfredo Leiva Maldonado & Benar Fux Svaiter, 2001. "On the accuracy of the estimated policy function using the Bellman contraction method," Economics Bulletin, AccessEcon, vol. 3(15), pages 1-8.
  10. John Rust, 1997. "Using Randomization to Break the Curse of Dimensionality," Econometrica, Econometric Society, vol. 65(3), pages 487-516, May.
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  12. Manuel S. Santos & Jesus Vigo-Aguiar, 1998. "Analysis of a Numerical Dynamic Programming Algorithm Applied to Economic Models," Econometrica, Econometric Society, vol. 66(2), pages 409-426, March.
  13. Michael Reiter, 2000. "Estimating The Accuracy Of Numerical Solutions To Dynamic Optimization Problems," Computing in Economics and Finance 2000 254, Society for Computational Economics.
  14. Rust, John, 1996. "Numerical dynamic programming in economics," Handbook of Computational Economics, in: H. M. Amman & D. A. Kendrick & J. Rust (ed.), Handbook of Computational Economics, edition 1, volume 1, chapter 14, pages 619-729 Elsevier.
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  17. Kydland, Finn E & Prescott, Edward C, 1982. "Time to Build and Aggregate Fluctuations," Econometrica, Econometric Society, vol. 50(6), pages 1345-70, November.
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