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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)

Robert Bray

Date Published

2018

Citations

Bray, Robert. 2018. Strong Convergence and Dynamic Economic Models. Quantitative Economics.

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