This paper introduces random versions of successive approximations and multigrid algorithms for computing approximate solutions to a class of finite and infinite horizon Markovian decision problems. The author proves that these algorithms succeed in breaking the 'curse of dimensionality' for a...

In many dynamic programming problems, a mix of state variables exists - some exhibiting stochastic cycles and others having deterministic cycles. We derive a formula for the value function in infinite-horizon, stationary, Markovian decision problems by exploiting a special partitioned-circulant...

This paper formulates a simple, regenerative, optimal-stopping model of bus-eng ine replacement to describe the behavior of Harold Zurcher, superinte ndent of maintenance at the Madison (Wisconsin) Metropolitan Bus Comp any. Admittedly, few people are likely to take particular interest in Harold...

This paper estimates the expectations of older male workers in the form of a 130 million element Markov transition probability matrix specifying the joint stochastic process for workers’ income, health, martial and employment status, conditioned on workers’ decisions about labor force...

This paper presents a model of automobile choice by single vehicle households. This effort is distinguished from previous disaggregate automobile holdings models primarily by the use of the nested logit model rather than the more restrictive multinomial logit model. We present a 2-step...

This paper introduces a new detailed data set of high-frequency observations on inventory investment by a U.S. steel wholesaler. Our analysis of these data leads to six main conclusions: orders and sales are made infrequently; orders are more volatile than sales; order sizes vary considerably;...

This paper studies the econometric problems associated with estimation of a stochastic process that is endogenously sampled. Our interest is to infer the law of motion of a discrete-time stochastic process {p_t} that is observed only at a subset of times {t_1,...,t_n} that depend on the outcome...