Input optimization for infinite-horizon discounted programs

DOI10.1007/BF00941823MaRDI QIDQ1102875zbMATH OpenOpenAlexFDO

Authors Adi Ben-Israel, Sjur Didrik Flåm

Publication date 1989

Published in Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf00941823

zbMATH Keywords

discounted infinite-horizon programsdiscrete time dynamic programoptimal consumptionoptimal plansoptimality principlevalue iteration

Mathematics Subject Classification ID

Dynamic programming (90C39) Economic growth models (91B62)

Review text

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.

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Cited in

(3)

• Dual dynamic programming for linear production/inventory systems
• On the computation of the optimal cost function for discrete time Markov models with partial observations
• Constructive dual DP for reservoir optimization

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