Using Randomization to Break the Curse of Dimensionality

John Rust ()

Econometrica, 1997, vol. 65, issue 3, pages 487-516

Abstract: This paper introduces random versions of successive approximations and multigrid algorithms for computing approximate solutions to a class of finite and infinite horizon Markovian decision problems. The author proves that these algorithms succeed in breaking the 'curse of dimensionality' for a subclass of Markovian decision problems known as discrete decision processes.

Date: 1997
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Related works:
Working Paper: Using Randomization to Break the Curse of Dimensionality (1994)
Working Paper: Using Randomization to Break the Curse of Dimensionality (1996)
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