Using Randomization to Break the Curse of Dimensionality

John Rust

Econometrica · 1997 · 412 citations · 20 references

Concepts

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).

References

20