Abstract
ABSTRACTWe propose an algorithm, which we call ‘Fast Value Iteration’ (FVI), to compute the value function of a deterministic infinite-horizon dynamic programming problem in discrete time. FVI is an efficient algorithm applicable to a class of multidimensional dynamic programming problems with concave return (or convex cost) functions and linear constraints. In this algorithm, a sequence of functions is generated starting from the zero function by repeatedly applying a simple algebraic rule involving the Legendre-Fenchel transform of the return function. The resulting sequence is guaranteed to converge, and the Legendre-Fenchel transform of the limiting function coincides with the value function.
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