Stochastic Comparative Statics in Markov Decision Processes
From MaRDI portal
Publication:5000655
DOI10.1287/MOOR.2020.1086zbMATH Open1471.90162arXiv1904.05481OpenAlexW3126527592MaRDI QIDQ5000655FDOQ5000655
Publication date: 15 July 2021
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Abstract: In multi-period stochastic optimization problems, the future optimal decision is a random variable whose distribution depends on the parameters of the optimization problem. We analyze how the expected value of this random variable changes as a function of the dynamic optimization parameters in the context of Markov decision processes. We call this analysis emph{stochastic comparative statics}. We derive both emph{comparative statics} results and emph{stochastic comparative statics} results showing how the current and future optimal decisions change in response to changes in the single-period payoff function, the discount factor, the initial state of the system, and the transition probability function. We apply our results to various models from the economics and operations research literature, including investment theory, dynamic pricing models, controlled random walks, and comparisons of stationary distributions.
Full work available at URL: https://arxiv.org/abs/1904.05481
Cites Work
- Comparison methods for stochastic models and risks
- Stochastic orders
- Title not available (Why is that?)
- Stochastic optimal control. The discrete time case
- Comparative Statics, Informativeness, and the Interval Dominance Order
- A qualitative approach to Markovian equilibrium in infinite horizon economies with capital
- Stochastic Monotonicity and Stationary Distributions for Dynamic Economies
- Minimizing a Submodular Function on a Lattice
- Monotone Comparative Statics
- Monotone Comparative Statics under Uncertainty
- Stochastic stability in monotone economies
- The risk-free rate in heterogeneous-agent incomplete-insurance economies
- A constructive study of Markov equilibria in stochastic games with strategic complementarities
- One-Sector Nonclassical Optimal Growth: Optimality Conditions and Comparative Dynamics
- Mean Field Equilibrium in Dynamic Games with Strategic Complementarities
- The Comparative Statics of Constrained Optimization Problems
- Entry, Exit, and firm Dynamics in Long Run Equilibrium
- Dynamic Pricing Strategies with Reference Effects
- Ordered Solutions for Dynamic Programs
- Comparative Statics by Adaptive Dynamics and the Correspondence Principle
- Dynamic optimization. Deterministic and stochastic models
- Structural Properties of Stochastic Dynamic Programs
- Optimal control of random walks, birth and death processes, and queues
- Partially observable total-cost Markov decision processes with weakly continuous transition probabilities
- Inventory Dynamics and Supply Chain Coordination
- Index-wise comparative statics
- Directional monotone comparative statics
- Stochastic Order Relations and Lattices of Probability Measures
- Comparative statics for the consumer problem
- Partially observed Markov decision processes. From filtering to controlled sensing
- Precautionary Wealth Accumulation
- How Does the Value Function of a Markov Decision Process Depend on the Transition Probabilities?
- Title not available (Why is that?)
- Distributional Comparative Statics
- The effect of interest rates on consumption in an income fluctuation problem
- Stochastic stability of monotone economies in regenerative environments
- Risk Aversion, Information Acquisition, and Technology Adoption
- Welfare variations and the comparative statics of demand
Cited In (3)
This page was built for publication: Stochastic Comparative Statics in Markov Decision Processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5000655)
