The Dual Approach to Recursive Optimization : Theory and Examples

We bring together the theories of duality and dynamic programming. We show that the dual of a separable dynamic optimization problem can be recursively decomposed. We provide a dual version of the principle of optimality and give conditions under which the dual Bellman operator is a contraction with the optimal dual value function its unique fixed point. We relate primal and dual problems, address computational issues and give examples

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Year of publication:	2016
Authors:	Pavoni, Nicola
Other Persons:	Sleet, Christopher M. (contributor) ; Messner, Matthias (contributor)
Publisher:	[2016]: [S.l.] : SSRN
Subject:	Theorie \| Theory \| Mathematische Optimierung \| Mathematical programming

Extent:	1 Online-Ressource (82 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 19, 2015 erstellt
Other identifiers:	10.2139/ssrn.1949860 [DOI]
Classification:	C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; C73 - Stochastic and Dynamic Games ; D82 - Asymmetric and Private Information ; E61 - Policy Objectives; Policy Designs and Consistency; Policy Coordination
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013008468