Envelope theorems in dynamic programming

DOI10.1023/A:1010978103974MaRDI QIDQ5948188zbMATH OpenOpenAlexFDO

Authors Fuan Zhao, Adi Ben-Israel

Publication date 31 October 2001

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1010978103974

zbMATH Keywords

envelope theoremlinear-quadratic controlresource allocation

Mathematics Subject Classification ID

Linear-quadratic optimal control problems (49N10) Sensitivity, stability, parametric optimization (90C31) Dynamic programming (90C39) Resource and cost allocation (including fair division, apportionment, etc.) (91B32)

Recommendations

• The envelope theorem in dynamic optimization
• An envelope theorem and some applications to discounted Markov decision processes
• Envelope theorems for static optimization and calculus of variations
• Generalized envelope theorems: applications to dynamic programming
• A natural extension of the classical envelope theorem in vector differential programming

Cited in

(7)

• Generalized envelope theorems: applications to dynamic programming
• Envelope theorems for static optimization and calculus of variations
• Finding an envelope is an optimization problem
• Envelope theorems for multistage linear stochastic optimization
• The converse envelope theorem
• The envelope theorem in dynamic optimization
• A natural extension of the classical envelope theorem in vector differential programming

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