Subgradients of value functions in parametric dynamic programming

We study in this paper the first-order behavior of value functions in parametric dynamic programming with linear constraints and nonconvex cost functions. By establishing an abstract result on the Frechet subdifferential of value functions of parametric mathematical programming problems, some new formulas on the Frechet subdifferential of value functions in parametric dynamic programming are obtained.

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Year of publication:	2009
Authors:	Kien, B.T. ; Liou, Y.C. ; Wong, N.-C. ; Yao, J.-C.
Published in:	European Journal of Operational Research. - Elsevier, ISSN 0377-2217. - Vol. 193.2009, 1, p. 12-22
Publisher:	Elsevier
Keywords:	Dynamic programming Value functions Frechet normal cones Frechet subgradients The Frechet subdifferential

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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