On the convergence of policy iteration for controlled diffusions
| Autor: | Puterman, M. L. |
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| Zdroj: | Journal of Optimization Theory and Applications; January 1981, Vol. 33 Issue: 1 p137-144, 8p |
| Abstrakt: | The convergence of an approximation scheme known as policy iteration has been demonstrated for controlled diffusions by Fleming, Puterman, and Bismut. In this paper, we show that this approximation scheme is equivalent to the Newton-Kantorovich iteration for solving the optimality equation and exploit this equivalence to obtain a new proof of convergence. Estimates of the rate of convergence of this procedure are also obtained. |
| Databáze: | Supplemental Index |
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