A simulation-based approach to stochasti
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Nicholas G. Polson; Morten Sorensen
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Article
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2011
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John Wiley and Sons
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English
β 492 KB
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## Abstract In this paper we develop a simulationβbased approach to stochastic dynamic programming. To solve the Bellman equation we construct Monte Carlo estimates of __Q__βvalues. Our method is scalable to high dimensions and works in both continuous and discrete state and decision spaces while a