Infinite-horizon deterministic dynamic programming in discrete time: a monotone convergence principle and a penalty method

DOI10.1080/02331934.2016.1193737MaRDI QIDQ2836080zbMATH OpenOpenAlexFDO

Authors Masayuki Yao, Takashi Kamihigashi

Publication date 7 December 2016

Published in Optimization (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1080/02331934.2016.1193737

zbMATH Keywords

dynamic programmingfixed pointpenalty methodvalue iterationBellman operator

Mathematics Subject Classification ID

Dynamic programming (90C39) Applications of operator theory in optimization, convex analysis, mathematical programming, economics (47N10)

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Cites work

• An application of Kleene's fixed point theorem to dynamic programming
• Corrigendum to ``Existence and Uniqueness of Solutions to the Bellman Equation in the Unbounded Case Econometrica, Vol. 71, No. 5 (September, 2003), 1519-1555
• Discounted dynamic programming with unbounded returns: application to economic models
• Dynamic programming and penalty functions
• Dynamic programming with homogeneous functions
• Elementary results on solutions to the Bellman equation of dynamic programming: existence, uniqueness, and convergence
• Existence and Uniqueness of Solutions to the Bellman Equation in the Unbounded Case
• Existence and uniqueness of a fixed point for local contractions
• On discounted dynamic programming with unbounded returns
• On dynamic programming with unbounded returns
• On the Bellman equation of the overtaking criterion
• On the Bellman equation of the overtaking criterion: Addendum
• Optimal growth models with bounded or unbounded returns: A unifying approach
• Stochastic optimal control. The discrete time case

Cited in

(4)

• Dual-based methods for solving infinite-horizon nonstationary deterministic dynamic programs
• Infinite Horizon Average Cost Dynamic Programming Subject to Total Variation Distance Ambiguity
• Fast value iteration: an application of Legendre-Fenchel duality to a class of deterministic dynamic programming problems in discrete time
• Input optimization for infinite-horizon discounted programs

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