On the accuracy of the estimated policy function using the Bellman contraction method
Autor(a) principal: | |
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Data de Publicação: | 2001 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Institucional da UCB |
Texto Completo: | http://hdl.handle.net/123456789/246 https://repositorio.ucb.br:9443/jspui/handle/123456789/7480 |
Resumo: | In this paper we show that the approximation error of the optimal policy function in the stochastic dynamic programing problem using the policies defined by the Bellman contraction method is lower than a constant (which depends on the modulus of strong concavity of the one-period return function) times the square root of the value function approximation error. Since the Bellman's method is a contraction it results that we can control the approximation error of the policy function. This method for estimating the approximation error is robust under small numerical errors in the computation of value and policy functions. |
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Repositório Institucional da UCB |
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Maldonado, Wilfredo LeivaSvaiter, Benar Fux2016-10-10T03:51:38Z2016-10-10T03:51:38Z2001MALDONADO, Wilfredo Leiva; SVAITER, Benar Fux. On the accuracy of the estimated policy function using the Bellman contraction method. Economics Bulletin, v. 3, n. 15, p. 1-8, 2001http://hdl.handle.net/123456789/246https://repositorio.ucb.br:9443/jspui/handle/123456789/7480In this paper we show that the approximation error of the optimal policy function in the stochastic dynamic programing problem using the policies defined by the Bellman contraction method is lower than a constant (which depends on the modulus of strong concavity of the one-period return function) times the square root of the value function approximation error. Since the Bellman's method is a contraction it results that we can control the approximation error of the policy function. This method for estimating the approximation error is robust under small numerical errors in the computation of value and policy functions.Made available in DSpace on 2016-10-10T03:51:38Z (GMT). No. of bitstreams: 5 On the accuracy of the estimated policy function using the Bellman contraction method.pdf: 193278 bytes, checksum: 98325a09f047ceef5da04324ab9f370e (MD5) license_url: 52 bytes, checksum: 3d480ae6c91e310daba2020f8787d6f9 (MD5) license_text: 21716 bytes, checksum: 282d2b1a583fb55b557e8a3be8d5dd05 (MD5) license_rdf: 23930 bytes, checksum: 6b71892b27c4389434057b8b0e86b43e (MD5) license.txt: 1872 bytes, checksum: 9ede5d1aaff3f6277cd24454ee44422e (MD5) Previous issue date: 2001SimPublicadoTextoStochastic dynamic programing problemEstimation of the policy functionOn the accuracy of the estimated policy function using the Bellman contraction methodinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleEconomics Bulletininfo:eu-repo/semantics/openAccessengreponame:Repositório Institucional da UCBinstname:Universidade Católica de Brasília (UCB)instacron:UCBORIGINALOn the accuracy of the estimated policy function using the Bellman contraction method.pdfapplication/pdf193278https://200.214.135.178:9443/jspui/bitstream/123456789/7480/1/On%20the%20accuracy%20of%20the%20estimated%20policy%20function%20using%20the%20Bellman%20contraction%20method.pdf98325a09f047ceef5da04324ab9f370eMD51CC-LICENSElicense_urlapplication/octet-stream52https://200.214.135.178:9443/jspui/bitstream/123456789/7480/2/license_url3d480ae6c91e310daba2020f8787d6f9MD52license_textapplication/octet-stream21716https://200.214.135.178:9443/jspui/bitstream/123456789/7480/3/license_text282d2b1a583fb55b557e8a3be8d5dd05MD53license_rdfapplication/octet-stream23930https://200.214.135.178:9443/jspui/bitstream/123456789/7480/4/license_rdf6b71892b27c4389434057b8b0e86b43eMD54LICENSElicense.txttext/plain1872https://200.214.135.178:9443/jspui/bitstream/123456789/7480/5/license.txt9ede5d1aaff3f6277cd24454ee44422eMD55TEXTOn the accuracy of the estimated policy function using the Bellman contraction method.pdf.txtOn the accuracy of the estimated policy function using the Bellman contraction method.pdf.txtExtracted texttext/plain35405https://200.214.135.178:9443/jspui/bitstream/123456789/7480/6/On%20the%20accuracy%20of%20the%20estimated%20policy%20function%20using%20the%20Bellman%20contraction%20method.pdf.txt9332cf804118ef3fe9d5d9b8902a17a8MD56123456789/74802017-01-17 15:07:45.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ório de Publicaçõeshttps://repositorio.ucb.br:9443/jspui/ |
dc.title.pt_BR.fl_str_mv |
On the accuracy of the estimated policy function using the Bellman contraction method |
title |
On the accuracy of the estimated policy function using the Bellman contraction method |
spellingShingle |
On the accuracy of the estimated policy function using the Bellman contraction method Maldonado, Wilfredo Leiva Stochastic dynamic programing problem Estimation of the policy function |
title_short |
On the accuracy of the estimated policy function using the Bellman contraction method |
title_full |
On the accuracy of the estimated policy function using the Bellman contraction method |
title_fullStr |
On the accuracy of the estimated policy function using the Bellman contraction method |
title_full_unstemmed |
On the accuracy of the estimated policy function using the Bellman contraction method |
title_sort |
On the accuracy of the estimated policy function using the Bellman contraction method |
author |
Maldonado, Wilfredo Leiva |
author_facet |
Maldonado, Wilfredo Leiva Svaiter, Benar Fux |
author_role |
author |
author2 |
Svaiter, Benar Fux |
author2_role |
author |
dc.contributor.author.fl_str_mv |
Maldonado, Wilfredo Leiva Svaiter, Benar Fux |
dc.subject.por.fl_str_mv |
Stochastic dynamic programing problem Estimation of the policy function |
topic |
Stochastic dynamic programing problem Estimation of the policy function |
dc.description.abstract.por.fl_txt_mv |
In this paper we show that the approximation error of the optimal policy function in the stochastic dynamic programing problem using the policies defined by the Bellman contraction method is lower than a constant (which depends on the modulus of strong concavity of the one-period return function) times the square root of the value function approximation error. Since the Bellman's method is a contraction it results that we can control the approximation error of the policy function. This method for estimating the approximation error is robust under small numerical errors in the computation of value and policy functions. |
dc.description.version.pt_BR.fl_txt_mv |
Sim |
dc.description.status.pt_BR.fl_txt_mv |
Publicado |
description |
In this paper we show that the approximation error of the optimal policy function in the stochastic dynamic programing problem using the policies defined by the Bellman contraction method is lower than a constant (which depends on the modulus of strong concavity of the one-period return function) times the square root of the value function approximation error. Since the Bellman's method is a contraction it results that we can control the approximation error of the policy function. This method for estimating the approximation error is robust under small numerical errors in the computation of value and policy functions. |
publishDate |
2001 |
dc.date.issued.fl_str_mv |
2001 |
dc.date.accessioned.fl_str_mv |
2016-10-10T03:51:38Z |
dc.date.available.fl_str_mv |
2016-10-10T03:51:38Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
status_str |
publishedVersion |
format |
article |
dc.identifier.citation.fl_str_mv |
MALDONADO, Wilfredo Leiva; SVAITER, Benar Fux. On the accuracy of the estimated policy function using the Bellman contraction method. Economics Bulletin, v. 3, n. 15, p. 1-8, 2001 |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/123456789/246 https://repositorio.ucb.br:9443/jspui/handle/123456789/7480 |
identifier_str_mv |
MALDONADO, Wilfredo Leiva; SVAITER, Benar Fux. On the accuracy of the estimated policy function using the Bellman contraction method. Economics Bulletin, v. 3, n. 15, p. 1-8, 2001 |
url |
http://hdl.handle.net/123456789/246 https://repositorio.ucb.br:9443/jspui/handle/123456789/7480 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
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openAccess |
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Universidade Católica de Brasília (UCB) |
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UCB |
institution |
UCB |
reponame_str |
Repositório Institucional da UCB |
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Repositório Institucional da UCB |
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