Strong convergence and dynamic economic models

• 成果类型: Article
• 署名作者: Bray, Robert L.
• 署名单位: Northwestern University
• 刊物名称: QUANTITATIVE ECONOMICS
• ISSN/ISSBN: 1759-7323
• DOI: 10.3982/QE833
• 发表日期: 2019
• 页码: 43-65
• 关键词: Markov decision process; Markov perfect equilibrium; strong convergence; relative value iteration; dynamic discrete choice; nested fixed point; nested pseudo-likelihood

摘要

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.