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Continuous State Dynamic Programming Via Nonexpansive Approximation

John Stachurski ()

No 618, KIER Working Papers from Kyoto University, Institute of Economic Research

Abstract: 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.

Pages: 24pages
Date: 2006-04
New Economics Papers: this item is included in nep-cmp and nep-dge
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http://www.kier.kyoto-u.ac.jp/DP/DP618.pdf (application/pdf)

Related works:
Journal Article: Continuous State Dynamic Programming via Nonexpansive Approximation (2008) Downloads
Working Paper: Continuous State Dynamic Programming via Nonexpansive Approximation (2006) Downloads
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