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Deterministic Dynamic Programming in Discrete Time: A Monotone Convergence Principle

Kamihigashi, Takashi; Yao, Masayuki - Research Institute for Economics and Business … - 2015

We consider infinite-horizon deterministic dynamic programming problems in discrete time. We show that the value function is always a fixed point of a modified version of the Bellman operator. We also show that value iteration monotonically converges to the value function if the initial function...

Persistent link: https://www.econbiz.de/10011262935

Approximate Policy Optimization and Adaptive Control in Regression Models

Han, Jiarui; Lai, Tze; Spivakovsky, Viktor - In: Computational Economics 27 (2006) 4, pp. 433-452

Persistent link: https://www.econbiz.de/10005701598

Optimization of Risk Measures

Ruszczynski, Andrzej; Shapiro, Alexander - EconWPA - 2004

We consider optimization problems involving coherent risk measures. We derive necessary and sufficient conditions of … optimality for these problems, and we discuss the nature of the nonanticipativity constraints. Next, we introdice dynamic risk … equations are developed. The theoretical considerations are illustrated with many examples of mean-risk models applied in …

Persistent link: https://www.econbiz.de/10005561059