## Using Randomization to Break the Curse of Dimensionality (1997)

by
John Rust

Venue: | Econometrica |

Citations: | 94 - 0 self |

### BibTeX

@ARTICLE{Rust97usingrandomization,

author = {John Rust},

title = {Using Randomization to Break the Curse of Dimensionality},

journal = {Econometrica},

year = {1997},

pages = {487--516}

}

### Years of Citing Articles

### OpenURL

### Abstract

Abstract: This paper introduces random versions of successive approximations and multigrid algorithms for computing approximate solutions to a class of finite and infinite horizon Markovian decision problems (MDPs). We prove that these algorithms succeed in breaking the “curse of dimensionality ” for a subclass of MDPs known as discrete decision processes (DDPs). 1