Continuous State Dynamic Programming via Nonexpansive Approximation

  • Authors:
  • John Stachurski

  • Affiliations:
  • Institute of Economic Research, Kyoto University, Kyoto, Japan 606-8501

  • Venue:
  • Computational Economics
  • Year:
  • 2008

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Abstract

This paper studies fitted value iteration for continuous state numerical dynamic programming using nonexpansive function approximators. A number of approximation schemes are discussed. The main contribution is to provide error bounds for approximate optimal policies generated by the value iteration algorithm.