Econometrica · 1997 · 412 citations · 20 references
ComputingComputer ScienceMathematicsAlgorithmsDecision TheoryStochastic ProcessesApproximation AlgorithmsDiscrete-time Stochastic ProcessesInfinite-horizon Markov Decision ProcessesNumerical AlgorithmsRandomized AlgorithmsStochastic OptimizationCurse Of DimensionalityFinite-horizon ApproximationFinite-horizon Decision MakingFinite-horizon Decision ProcessesInfinite-horizon Decision ProcessesMultigrid ConvergenceRandomized Approximation AlgorithmsSuccessive Approximations
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).
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