Strong convergence and dynamic economic models

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.

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Year of publication:	2019
Authors:	Bray, Robert L.
Published in:	Quantitative Economics. - New Haven, CT : The Econometric Society, ISSN 1759-7331. - Vol. 10.2019, 1, p. 43-65
Publisher:	New Haven, CT : The Econometric Society
Subject:	Markov decision process \| Markov perfect equilibrium \| strong convergence \| relative value iteration \| dynamic discrete choice \| nested fixed point \| nested pseudo-likelihood

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Type of publication:	Article
Type of publication (narrower categories):	Article
Language:	English
Other identifiers:	10.3982/QE833 [DOI] 1663459053 [GVK] hdl:10419/217136 [Handle]
Classification:	C01 - Econometrics ; C13 - Estimation ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; C63 - Computational Techniques ; C65 - Miscellaneous Mathematical Tools
Source:	EconStor

Persistent link: https://www.econbiz.de/10012215366