Convergence of Learning Algorithms Without a Projection Facility

CES Working Paper No. 110

Posted: 15 Apr 1998

See all articles by Seppo Honkapohja

Seppo Honkapohja

Centre for Economic Policy Research (CEPR); Aalto University School of Business; CESifo (Center for Economic Studies and Ifo Institute for Economic Research); Aalto University - School of Business

George W. Evans

University of Oregon - Department of Economics; University of St. Andrews - School of Economics and Finance

Date Written: May 1996

Abstract

Drawing upon recent contributions in the statistical literature, we present a new result on the convergence of recursive, stochastic algorithms which can be applied to economic models with learning. The formal result provides probability bounds for convergence which can be used to describe the local stability under learning of rational expectations equilibria. Our treatment also generalizes previous results by permitting the state variable to follow a nonlinear Markov process. Two economic applications are discussed.

JEL Classification: C62

Suggested Citation

Honkapohja, Seppo and Honkapohja, Seppo and Evans, George W., Convergence of Learning Algorithms Without a Projection Facility (May 1996). CES Working Paper No. 110, Available at SSRN: https://ssrn.com/abstract=4178

Seppo Honkapohja (Contact Author)

Centre for Economic Policy Research (CEPR)

London
United Kingdom

Aalto University School of Business ( email )

, PO Box 21210
Aalto FI-00076
Finland

CESifo (Center for Economic Studies and Ifo Institute for Economic Research)

Poschinger Str. 5
Munich, DE-81679
Germany

HOME PAGE: http://www.CESifo.de

Aalto University - School of Business

Finland

George W. Evans

University of Oregon - Department of Economics ( email )

1285 University of Oregon
Eugene, OR 97403
United States
541-346-4662 (Phone)
541-346-1243 (Fax)

University of St. Andrews - School of Economics and Finance ( email )

The Scores, Castlecliff
St. Andrews, Fife KY16 8RD
United Kingdom
44-1334-462435 (Phone)

HOME PAGE: http://www.st-andrews.ac.uk/economics/staff/pages.g.evans.shtml

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