Lipschitz continuous policy functions for strongly concave optimization problems (Q1098779)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Lipschitz continuous policy functions for strongly concave optimization problems |
scientific article |
Statements
Lipschitz continuous policy functions for strongly concave optimization problems (English)
0 references
1987
0 references
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.
0 references
discounted infinite sum of stationary return functions
0 references
Lipschitz continuous
0 references
\(\alpha \)-concavity
0 references
0 references
