title

'Using Randomization to Break the Curse of Dimensionality'

author

'John Rust'

url

'http://www.jstor.org/stable/2171751'

abstract

'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 (MDPs). We prove that these algorithms succeed in breaking the "curse of dimensionality" for a subclass of MDPs known as discrete decision processes (DDPs).'

journal

'Econometrica'

year

'1997'

Undefined

'00129682, 14680262'

'3'

'487--516'

'[Wiley, Econometric Society]'

'65'