Search Results - subject:"Value function"

Stochastic convexity in dynamic programming

Atakan, Alp E. - In: Economic Theory 22 (2003) 2, pp. 447-455

the value function. The paper uses conditions such as first order stochastic dominance, second order stochastic dominance …This paper explores sufficient conditions for a continuous stationary Markov optimal policy and a concave value … function in stochastic dynamic programming problems. Also, the paper addresses conditions needed for the differentiability of …

Persistent link: https://www.econbiz.de/10005753358

Computation of the value function indiscrete stochastic optimal growth models

Pampel, Thorsten - Society for Computational Economics - SCE - 2002

Persistent link: https://www.econbiz.de/10005345447

Optimality equations and inequalities in a class of risk-sensitive average cost Markov decision chains

Cavazos-Cadena, Rolando - In: Mathematical Methods of Operations Research 71 (2010) 1, pp. 47-84

This note concerns controlled Markov chains on a denumerable sate space. The performance of a control policy is measured by the risk-sensitive average criterion, and it is assumed that (a) the simultaneous Doeblin condition holds, and (b) the system is communicating under the action of each...

Persistent link: https://www.econbiz.de/10010950004

A note on the endogeneity of the price of utility within the consumer’s static profit function

Sproule, Robert - In: Journal of Economics 101 (2010) 2, pp. 185-191

Persistent link: https://www.econbiz.de/10008678338

Optimality equations and inequalities in a class of risk-sensitive average cost Markov decision chains

Cavazos-Cadena, Rolando - In: Computational Statistics 71 (2010) 1, pp. 47-84

Persistent link: https://www.econbiz.de/10010759218

Infinite-horizon policy-gradient estimation

Baxter, J.; Bartlett, P. L. - 2001

value-function methods. In this paper we introduce GPOMDP, a simulation-based algorithm for generating a biased estimate of …

Persistent link: https://www.econbiz.de/10009438377

Optimal Saving Rules for Loss-Averse Agents under Uncertainty

Siegmann, Arjen H. - 2001

Most empirical studies assume only monotonic preferences for households. Behavioral research however providessubstantial evidence that preferences for wealth are measured relative to a reference point. In this paper weintroduce and solve a two-period consumption and savings model for a...

Persistent link: https://www.econbiz.de/10010324880

Optimal Saving Rules for Loss-Averse Agents under Uncertainty

Siegmann, Arjen H. - Tinbergen Institute - 2001

Most empirical studies assume only monotonic preferences for households. Behavioral research however provides substantial evidence that preferences for wealth are measured relative to a reference point. In this paper we introduce and solve a two-period consumption and savings model for a...

Persistent link: https://www.econbiz.de/10005450755

Optimal Saving Rules for Loss-Averse Agents under Uncertainty

Siegmann, Arjen H. - Tinbergen Instituut - 2001

Persistent link: https://www.econbiz.de/10011255497

Optimal saving rules for loss-averse agents under uncertainty

Siegmann, Adriaan Hendrik - 2001

Persistent link: https://www.econbiz.de/10011317449