Persistently optimal policies in stochastic dynamic programming with generalized discounting

DOI10.1287/MOOR.1120.0561MaRDI QIDQ5169657zbMATH OpenOpenAlexFDO

Authors Anna Jaskiewicz, Janusz Matkowski, Andrzej S. Nowak

Publication date 11 July 2014

Published in Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/c08064e1b0e9a4214cef47c20b4c21ca006fe1ed

zbMATH Keywords

Bellman equationgrowth theorypersistently optimal policiesresource extractionstochastic dynamic programmingvariable discounting

Mathematics Subject Classification ID

Dynamic programming (90C39) Markov and semi-Markov decision processes (90C40) Resource and cost allocation (including fair division, apportionment, etc.) (91B32) Economic growth models (91B62)

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(19)

• Stochastic optimal policies when the discount rate vanishes
• On -optimal continuous selectors and their application in discounted dynamic programming
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• Generalised discounting in dynamic programming with unbounded returns
• Process-based risk measures and risk-averse control of discrete-time systems
• Stochastic dynamic programming with non-linear discounting
• A Kannan-type fixed point theorem for multivalued mappings with application
• A functional equation arising in dynamic programming
• Finitely additive dynamic programming
• scientific article; zbMATH DE number 4029302 (Why is no real title available?)
• Applications of variable discounting dynamic programming to iterated function systems and related problems
• scientific article; zbMATH DE number 939795 (Why is no real title available?)
• On variable discounting in dynamic programming: applications to resource extraction and other economic models
• Risk-averse learning by temporal difference methods with Markov risk measures
• On finite approximations to Markov decision processes with recursive and nonlinear discounting
• Discounted dynamic optimization and Bregman divergence
• Mean-variance optimization in discrete-time decision processes with general utility function
• On stochastic non-linear discounting

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