Fitted value function iteration with probability one contractions

Jenő Pál and John Stachurski

Journal of Economic Dynamics and Control, 2013, vol. 37, issue 1, 251-264

Abstract: 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.

Keywords: Dynamic programming; Value function iteration; Monte Carlo (search for similar items in EconPapers)
JEL-codes: C61 C63 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:dyncon:v:37:y:2013:i:1:p:251-264

DOI: 10.1016/j.jedc.2012.08.003

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