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Strong Convergence and Dynamic Economic Models, Quantitative Economics
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.
Bray, Robert. 2018. Strong Convergence and Dynamic Economic Models. Quantitative Economics. 10(1): 43-65.LINK
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