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  • Search: subject:"Differentiability of the optimal value function"
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Subject
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Differentiability of the optimal policy 2 Differentiability of the optimal value function 2 Discounted Markov decision process 2 Economic growth model 2 Envelope theorem 2
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Undetermined 2
Type of publication
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Article 2
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Undetermined 2
Author
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Cruz-Suárez, Hugo 2 Montes-de-Oca, Raúl 2
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Computational Statistics 1 Mathematical Methods of Operations Research 1
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RePEc 2
Showing 1 - 2 of 2
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An envelope theorem and some applications to discounted Markov decision processes
Cruz-Suárez, Hugo; Montes-de-Oca, Raúl - In: Computational Statistics 67 (2008) 2, pp. 299-321
In this paper, an Envelope Theorem (ET) will be established for optimization problems on Euclidean spaces. In general, the Envelope Theorems permit analyzing an optimization problem and giving the solution by means of differentiability techniques. The ET will be presented in two versions. One of...
Persistent link: https://www.econbiz.de/10010759282
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Cover Image
An envelope theorem and some applications to discounted Markov decision processes
Cruz-Suárez, Hugo; Montes-de-Oca, Raúl - In: Mathematical Methods of Operations Research 67 (2008) 2, pp. 299-321
In this paper, an Envelope Theorem (ET) will be established for optimization problems on Euclidean spaces. In general, the Envelope Theorems permit analyzing an optimization problem and giving the solution by means of differentiability techniques. The ET will be presented in two versions. One of...
Persistent link: https://www.econbiz.de/10010999686
Saved in:
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