Input optimization for infinite-horizon discounted programs (Q1102875)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Input optimization for infinite-horizon discounted programs |
scientific article |
Statements
Input optimization for infinite-horizon discounted programs (English)
0 references
1989
0 references
Let V(x) denote the optimal (maximal) value of a discrete time dynamic program, given the initial state x. This paper is concerned with the inverse correspondence \(V^{-1}\) and its infimum \[ I(v)\quad:=\quad \inf _{x}\{x: V(x)\geq v\} \] for discounted, infinite-horizon programs with one-dimensional state space and monotone V(\(\cdot)\). The function I(v), interpreted as the optimal (minimal) input required to achieve v, is computed using dynamic programming recursion (Theorem 3.1) or value iteration (Theorem 3.2). An application to mathematical economics (optimal consumption plan) is given.
0 references
discrete time dynamic program
0 references
discounted infinite-horizon programs
0 references
value iteration
0 references
optimal consumption
0 references
optimality principle
0 references
optimal plans
0 references