Strong convergence and dynamic economic models

Robert L. Bray

Quantitative Economics, 2019, vol. 10, issue 1, 43-65

Abstract: Morton and Wecker (1977) stated that the value iteration algorithm solves a dynamic program's policy function faster than its value function when the limiting Markov chain is ergodic. I show that their proof is incomplete, and provide a new proof of this classic result. I use this result to accelerate the estimation of Markov decision processes and the solution of Markov perfect equilibria.

Date: 2019
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