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Research Details
Strong Convergence and Dynamic Economic Models, Quantitative Economics
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.
Type
Article
Author(s)
Date Published
2018
Citations
Bray, Robert. 2018. Strong Convergence and Dynamic Economic Models. Quantitative Economics. 10(1): 43-65.
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