메뉴 건너뛰기




Volumn 65, Issue 3, 1997, Pages 487-516

Using randomization to break the curse of dimensionality

(1)  Rust, John a  

a NONE

Author keywords

Bellman operator; Computational complexity; Curse of dimensionality; Dynamic programming; Empirical processes; Maximal inequalities; Random Bellman operator

Indexed keywords


EID: 0001509947     PISSN: 00129682     EISSN: None     Source Type: Journal    
DOI: 10.2307/2171751     Document Type: Article
Times cited : (264)

References (43)
  • 1
    • 70350221872 scopus 로고    scopus 로고
    • Mechanics for Forming and Estimating Dynamic Linear Economics
    • ed. by H. Amman, D. Kendrick and J. Rust. Amsterdam: Elsevier, Ch. 4
    • ANDERSON, E., L. HANSEN, E. MCGRATTEN, AND T. SARGENT (1996): "Mechanics for Forming and Estimating Dynamic Linear Economics," in Handbook of Computational Economics, ed. by H. Amman, D. Kendrick and J. Rust. Amsterdam: Elsevier, Ch. 4, 171-252.
    • (1996) Handbook of Computational Economics , pp. 171-252
    • Anderson, E.1    Hansen, L.2    Mcgratten, E.3    Sargent, T.4
  • 3
    • 0019742239 scopus 로고
    • A Unified Framework for the Discretization of Nonlinear Operator Equations
    • ANSELONE, P. M., AND R. ANSORGE (1981): "A Unified Framework for the Discretization of Nonlinear Operator Equations," Numerical Functional Analysis and Optimization, 4, 61-99.
    • (1981) Numerical Functional Analysis and Optimization , vol.4 , pp. 61-99
    • Anselone, P.M.1    Ansorge, R.2
  • 5
    • 0029210635 scopus 로고
    • Learning to Act Using Real-Time Dynamic Programming
    • BARTO, A. G., S. J. BRADTKE, AND S. SINGH (1995): "Learning to Act Using Real-Time Dynamic Programming," Artificial Intelligence, 72, 81-138.
    • (1995) Artificial Intelligence , vol.72 , pp. 81-138
    • Barto, A.G.1    Bradtke, S.J.2    Singh, S.3
  • 6
    • 0003787146 scopus 로고
    • Princeton, NJ: Princeton University Press
    • BELLMAN, R. (1957): Dynamic Programming. Princeton, NJ: Princeton University Press.
    • (1957) Dynamic Programming
    • Bellman, R.1
  • 7
    • 0346003696 scopus 로고    scopus 로고
    • 1970
    • _ (1970):
  • 9
    • 84968468700 scopus 로고
    • Polynomial Approximation: A New Technique in Dynamic Programming Allocation Processes
    • BELLMAN, R., R. KALABA, AND B. KOTKIN (1963): "Polynomial Approximation: A New Technique in Dynamic Programming Allocation Processes," Mathematics of Computation, 17, 155-161.
    • (1963) Mathematics of Computation , vol.17 , pp. 155-161
    • Bellman, R.1    Kalaba, R.2    Kotkin, B.3
  • 10
    • 0016515669 scopus 로고
    • Convergence of Discretization Procedures in Dynamic Programming
    • BERTSEKAS, D. (1975): "Convergence of Discretization Procedures in Dynamic Programming," IEEE Transactions on Automatic Control, 20, 415-419.
    • (1975) IEEE Transactions on Automatic Control , vol.20 , pp. 415-419
    • Bertsekas, D.1
  • 12
    • 38249024662 scopus 로고
    • The Complexity of Dynamic Programming
    • CHOW, C. S., AND J. N. TSITSIKLIS (1989): "The Complexity of Dynamic Programming," Journal of Complexity, 5, 466-488.
    • (1989) Journal of Complexity , vol.5 , pp. 466-488
    • Chow, C.S.1    Tsitsiklis, J.N.2
  • 13
    • 0026206780 scopus 로고
    • An Optimal Multigrid Algorithm for Continuous State Discrete Time Stochastic Control
    • _ (1991): "An Optimal Multigrid Algorithm for Continuous State Discrete Time Stochastic Control," IEEE Transactions on Automatic Control, 36, 898-914.
    • (1991) IEEE Transactions on Automatic Control , vol.36 , pp. 898-914
  • 15
    • 0000104548 scopus 로고
    • Contraction Mappings Underlying the Theory of Dynamic Programming
    • DENARDO, E. V. (1967): "Contraction Mappings Underlying the Theory of Dynamic Programming," SIAM Review, 9, 165-177.
    • (1967) SIAM Review , vol.9 , pp. 165-177
    • Denardo, E.V.1
  • 17
    • 0003213668 scopus 로고
    • Empirical Processes
    • Hayward, California: Institute of Mathematical Statistics
    • GÄNßLER, P. (1983): Empirical Processes, Volume Three in Lecture Notes Series. Hayward, California: Institute of Mathematical Statistics.
    • (1983) Lecture Notes Series , vol.3
    • Gänßler, P.1
  • 19
    • 0001213377 scopus 로고
    • Central Limit Theorems for C(S)-valued Random Variables
    • JAIN, N. C., AND M. B. MARCUS (1975): "Central Limit Theorems for C(S)-valued Random Variables," Journal of Functional Analysis, 19, 216-231.
    • (1975) Journal of Functional Analysis , vol.19 , pp. 216-231
    • Jain, N.C.1    Marcus, M.B.2
  • 20
    • 70350095643 scopus 로고    scopus 로고
    • Approximation, Perturbation, and Projection Methods in Economic Analysis
    • ed. by H. Amman, D. Kendrick, and J. Rust. Amsterdam: Elsevier-North Holland, Ch. 12
    • JUDD, K. (1996): "Approximation, Perturbation, and Projection Methods in Economic Analysis," in Handbook of Computational Economics, ed. by H. Amman, D. Kendrick, and J. Rust. Amsterdam: Elsevier-North Holland, Ch. 12, 511-585.
    • (1996) Handbook of Computational Economics , pp. 511-585
    • Judd, K.1
  • 21
    • 43949154401 scopus 로고
    • The Solution and Estimation of Discrete Choice Dynamic Programming Models by Simulation and Interpolation: Monte Carlo Evidence
    • KEANE, M. P., AND K. I. WOLPIN (1994): "The Solution and Estimation of Discrete Choice Dynamic Programming Models by Simulation and Interpolation: Monte Carlo Evidence," Review of Economics and Statistics, 76, 648-672.
    • (1994) Review of Economics and Statistics , vol.76 , pp. 648-672
    • Keane, M.P.1    Wolpin, K.I.2
  • 25
    • 0001922673 scopus 로고    scopus 로고
    • ed. by S. Pliska and M. Dempster. Cambridge, England: Isaac Newton Institute
    • PASKOV, S. (1996): "New Methodologies for Valuing Securities," ed. by S. Pliska and M. Dempster. Cambridge, England: Isaac Newton Institute.
    • (1996) New Methodologies for Valuing Securities
    • Paskov, S.1
  • 27
    • 84972514302 scopus 로고
    • Asymptotics via Empirical Processes
    • POLLARD, D. (1989): "Asymptotics via Empirical Processes," Statistical Science, 4, 341-386.
    • (1989) Statistical Science , vol.4 , pp. 341-386
    • Pollard, D.1
  • 28
    • 77957101448 scopus 로고
    • Markov Decision Processes
    • ed. by D. P. Heyman and M. J. Sobel. Amsterdam: Elsevier
    • PUTERMAN, M. L. (1990): "Markov Decision Processes," in Handbooks in Operations Research and Management Science, Vol. 2, ed. by D. P. Heyman and M. J. Sobel. Amsterdam: Elsevier.
    • (1990) Handbooks in Operations Research and Management Science , vol.2
    • Puterman, M.L.1
  • 30
    • 0018429581 scopus 로고
    • On the Convergence of Policy Iteration in Stationary Dynamic Programming
    • PUTERMAN, M. L., AND S. BRUMELLE (1979): "On the Convergence of Policy Iteration in Stationary Dynamic Programming," Mathematics of Operations Research, 4, 60-69.
    • (1979) Mathematics of Operations Research , vol.4 , pp. 60-69
    • Puterman, M.L.1    Brumelle, S.2
  • 31
    • 0002851522 scopus 로고
    • On Irregularities of Distribution
    • ROTH, K. F. (1954): "On Irregularities of Distribution," Mathematika, 1, 73-79.
    • (1954) Mathematika , vol.1 , pp. 73-79
    • Roth, K.F.1
  • 32
    • 70350107178 scopus 로고
    • Structural Estimation of Markov Decision Processes
    • ed. by D. McFadden and R. Engle. Amsterdam: North Holland, Chapter 51
    • RUST, J. (1994): "Structural Estimation of Markov Decision Processes," in Handbook of Econometrics, 4, ed. by D. McFadden and R. Engle. Amsterdam: North Holland, Chapter 51, 3082-3139.
    • (1994) Handbook of Econometrics , vol.4 , pp. 3082-3139
    • Rust, J.1
  • 33
    • 0002317013 scopus 로고    scopus 로고
    • Numerical Dynamic Programming in Economics
    • Amsterdam: Elsevier-North Holland, Ch. 14
    • _ (1996): "Numerical Dynamic Programming in Economics," in Handbook of Computational Economics, ed. by H. Amman, D. Kendrick, and J. Rust. Amsterdam: Elsevier-North Holland, Ch. 14, 620-729.
    • (1996) Handbook of Computational Economics , pp. 620-729
    • Amman, H.1    Kendrick, D.2    Rust, J.3
  • 35
    • 0001518154 scopus 로고
    • Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models
    • TAUCHEN, G., AND R. HUSSEY (1991): "Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models," Econometrica, 59, 371-396.
    • (1991) Econometrica , vol.59 , pp. 371-396
    • Tauchen, G.1    Hussey, R.2
  • 37
    • 84968517779 scopus 로고
    • The Monte Carlo Algorithm with a Pseudorandom Generator
    • TRAUB, J. F., AND H. WOŹNIAKOWSKI (1992): "The Monte Carlo Algorithm with a Pseudorandom Generator," Mathematics of Computation, 58, 323-339.
    • (1992) Mathematics of Computation , vol.58 , pp. 323-339
    • Traub, J.F.1    Woźniakowski, H.2
  • 38
    • 0028497630 scopus 로고
    • Asynchronous Stochastic Approximation and Q-Learning
    • TSITSIKLIS, J. N. (1994): "Asynchronous Stochastic Approximation and Q-Learning," Machine Learning, 16, 185-202.
    • (1994) Machine Learning , vol.16 , pp. 185-202
    • Tsitsiklis, J.N.1
  • 41
    • 0005315140 scopus 로고
    • Estimating the Computational Complexity of Mathematical Programming Problems
    • in Russian.
    • YUDIN, D. B., AND A. B. NEMIROVSKY (1976a): "Estimating the Computational Complexity of Mathematical Programming Problems," Ekonomika i Matem. Metody, 12, 128-142 (in Russian).
    • (1976) Ekonomika I Matem. Metody , vol.12 , pp. 128-142
    • Yudin, D.B.1    Nemirovsky, A.B.2
  • 42
    • 0013438004 scopus 로고
    • Computational Complexity and Efficiency of Methods for Solving Convex Extremum Problems
    • in Russian
    • _ (1976b): "Computational Complexity and Efficiency of Methods for Solving Convex Extremum Problems," Ekonomika i Matem. Metody, 12, 357-369 (in Russian).
    • (1976) Ekonomika I Matem. Metody , vol.12 , pp. 357-369
  • 43
    • 0346635817 scopus 로고
    • Efficiency of Random Search in Control Problems
    • Tekhnischeskaya Kibernetika, in Russian
    • _ (1977): "Efficiency of Random Search in Control Problems," Izvestiya Akad. Nauk SSSR, Tekhnischeskaya Kibernetika, 3, 3-17 (in Russian).
    • (1977) Izvestiya Akad. Nauk SSSR , vol.3 , pp. 3-17


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.