About this document
Fast Algorithms for Value Functions by Pavel Shung is a document available to read on EtoBox.
This document describes fast algorithms for computing the optimal value function and decision rule for a social planning problem. It introduces transformations that simplify the problem, and describes invariant subspace methods and the doubling algorithm for rapidly solving the associated matrix Riccati equation. The chapter focuses on efficient computations for nonstochastic optimal linear regulator problems.
- Author
- Pavel Shung
- Language
- EN