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

John Stachurski

English

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Continuous State Dynamic Programming via Nonexpansive Approximation

http://www.economics.unimelb.edu.au/downloads/wpapers-06/961.pdf

Continuous State Dynamic Programming via Nonexpansive Approximation

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Research Papers in Economics