Dynamic programming with value convexity

DOI10.1016/J.AUTOMATICA.2021.109641MaRDI QIDQ2665320zbMATH OpenOpenAlexFDO

Authors Guanlong Ren, John Stachurski

Publication date 19 November 2021

Published in Automatica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.automatica.2021.109641

zbMATH Keywords

dynamic programmingambiguityrecursive preferences

Mathematics Subject Classification ID

Dynamic programming (90C39) Discrete-time Markov processes on general state spaces (60J05) Dynamic programming in optimal control and differential games (49L20) Markov and semi-Markov decision processes (90C40) Discrete-time control/observation systems (93C55)

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Cites work

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• Ambiguity, learning, and asset returns
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• Decision making under uncertainty. Theory and application. With contributions from Christopher Amato, Girish Chowdhary, Jonathan P. How, Hayley J. Davison Reynolds, Jason R. Thornton, Pedro A. Torres-Carrasquillo, N. Kemal Üre and John Vian
• Fixed points of increasing operators in ordered Banach spaces and applications
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• Infinite Horizon Risk Sensitive Control of Discrete Time Markov Processes under Minorization Property
• Minimizing the probability of lifetime ruin under ambiguity aversion
• Optimal structural policies for ambiguity and risk averse inventory and pricing models
• Probabilistically distorted risk-sensitive infinite-horizon dynamic programming
• Recursive smooth ambiguity preferences
• Risk-averse dynamic programming for Markov decision processes
• Risk-sensitive Markov control processes
• Stochastic optimal growth model with risk sensitive preferences
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
• Unique solutions for stochastic recursive utilities

Cited in

(17)

• scientific article; zbMATH DE number 3314888 (Why is no real title available?)
• scientific article; zbMATH DE number 703928 (Why is no real title available?)
• On the dynamic programming approach to incentive constraint problems
• ON THE CONVEXITY OF VALUE FUNCTIONS FOR A CERTAIN CLASS OF STOCHASTIC DYNAMIC PROGRAMMING PROBLEM
• Dynamic programming with convexity, concavity and sparsity
• scientific article; zbMATH DE number 7733457 (Why is no real title available?)
• An application of Kleene's fixed point theorem to dynamic programming
• Strong convergence and dynamic economic models
• Strict concavity of the value function for a family of dynamic accumulation models
• Non-concave dynamic programming
• Infinite-horizon deterministic dynamic programming in discrete time: a monotone convergence principle and a penalty method
• An abstract topological approach to dynamic programming
• Convex dynamic programming with (bounded) recursive utility
• Do not blame Bellman: it is Koopmans' fault
• A polyhedral approximation approach to concave numerical dynamic programming
• An approximation approach to dynamic programming with unbounded returns
• Rationalizing Policy Functions by Dynamic Optimization

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