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Ways to test stochastic dynamic programming models empirically

✍ Scribed by John M.C. Hutchinson; John M. McNamara


Book ID
112235597
Publisher
Elsevier Science
Year
2000
Tongue
English
Weight
206 KB
Volume
59
Category
Article
ISSN
0003-3472

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## Abstract In this paper we develop a simulation‐based approach to stochastic dynamic programming. To solve the Bellman equation we construct Monte Carlo estimates of __Q__‐values. Our method is scalable to high dimensions and works in both continuous and discrete state and decision spaces while a