Lipschitz continuous policy functions for strongly concave optimization problems (Q1098779): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Lipschitz continuous policy functions for strongly concave optimization problems |
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Lipschitz continuous policy functions for strongly concave optimization problems (English)
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1987
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We prove that the policy function, obtained by optimizing a discounted infinite sum of stationary return functions, is Lipschitz continuous when the instantaneous function is strongly concave. Moreover, by using the notion of \(\alpha\)-concavity, we provide an estimate of the Lipschitz constant which turns out to be a decreasing function of the discount factor.
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discounted infinite sum of stationary return functions
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Lipschitz continuous
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\(\alpha \)-concavity
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