Stochastic dynamic programming with non-linear discounting

DOI10.1007/s00245-020-09731-xzbMath1478.90139arXiv2011.02239OpenAlexW3117519297MaRDI QIDQ2234309

Nicole Bäuerle, Andrzej S. Nowak, Anna Jaśkiewicz

Publication date: 19 October 2021

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2011.02239

zbMATH Keywords

Bellman equationstochastic dynamic programmingoptimal stationary policynonlinear discounting

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Dynamic programming (90C39) Economic growth models (91B62) Markov and semi-Markov decision processes (90C40) Resource and cost allocation (including fair division, apportionment, etc.) (91B32)

Related Items (3)

Time-consistent equilibria in dynamic models with recursive payoffs and behavioral discounting ⋮ Long-Run Impulse Control with Generalized Discounting ⋮ On Finite Approximations to Markov Decision Processes with Recursive and Nonlinear Discounting

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On variable discounting in dynamic programming: applications to resource extraction and other economic models
• Markov decision processes with applications to finance.
• Stochastic games with unbounded payoffs: applications to robust control in economics
• Recursive utility and the Ramsey problem
• Stochastic optimal control. The discrete time case
• Markov programming by successive approximations with respect to weighted supremum norms
• Discounting long run average growth in stochastic dynamic programs
• Stochastic optimal growth model with risk sensitive preferences
• Generalised discounting in dynamic programming with unbounded returns
• On recursive utilities with non-affine aggregator and conditional certainty equivalent
• Measurable selections of extrema
• Dynamic programming for non-additive stochastic objectives
• Conditions for optimality in dynamic programming and for the limit of n-stage optimal policies to be optimal
• Monotone Mappings with Application in Dynamic Programming
• Persistently Optimal Policies in Stochastic Dynamic Programming with Generalized Discounting
• Discounted Dynamic Programming
• Stationary Ordinal Utility and Impatience
• Contraction Mappings in the Theory Underlying Dynamic Programming
• Handbook of Markov decision processes. Methods and applications

This page was built for publication: Stochastic dynamic programming with non-linear discounting