Convergence Properties of Policy Iteration

@article{Santos2004ConvergencePO,
  title={Convergence Properties of Policy Iteration},
  author={Manuel S. Santos and John Rust},
  journal={SIAM J. Control and Optimization},
  year={2004},
  volume={42},
  pages={2094-2115}
}
This paper analyzes asymptotic convergence properties of policy iteration in a class of stationary, infinite-horizon Markovian decision problems that arise in optimal growth theory. These problems have continuous state and control variables and must therefore be discretized in order to compute an approximate solution. The discretization may render inapplicable known convergence results for policy iteration such as those of Puterman and Brumelle [Math. Oper. Res., 4 (1979), pp. 60–69]. Under… CONTINUE READING

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