On the Value-Function of an Infinite-Horizon Linear-Quadratic Problem.

For a discrete-time infinite-horizon linear-quadratic optimal control problem, under the assumption of the nonemptyness of the set of the asmissible process, we prove the existence and the uniqueness of an optimal process, we prove that the value-function is a quadratic function of the initial state, and we characterize the matrix of this quadratic function among the solutions of an algebraic Raccati equation by using a fixed point theorem.

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Year of publication:	2001
Authors:	Blot, J. ; Michel, P.
Institutions:	Centre de recherche de mathématiques et économie mathématique (CERMSEM), Centre d'Économie de la Sorbonne
Subject:	MATHEMATICS

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Series:	Papiers d'Economie Mathématique et Applications.
Type of publication:	Book / Working Paper
Notes:	14 pages
Classification:	C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; C60 - Mathematical Methods and Programming. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005630734