Result: On the terminal condition for the Bellman equation for dynamic optimization with an infinite horizon
Title:
On the terminal condition for the Bellman equation for dynamic optimization with an infinite horizon
Authors:
Source:
Applied mathematics letters. 24(6):943-949
Publisher Information:
Kidlington: Elsevier, 2011.
Publication Year:
2011
Physical Description:
print, 12 ref
Original Material:
INIST-CNRS
Subject Terms:
Control theory, operational research, Automatique, recherche opérationnelle, Mathematics, Mathématiques, Mechanics acoustics, Mécanique et acoustique, Sciences exactes et technologie, Exact sciences and technology, Sciences et techniques communes, Sciences and techniques of general use, Mathematiques, Mathematics, Analyse mathématique, Mathematical analysis, Fonctions réelles, Real functions, Calcul des variations et contrôle optimal, Calculus of variations and optimal control, Analyse numérique. Calcul scientifique, Numerical analysis. Scientific computation, Analyse numérique, Numerical analysis, Méthodes numériques en programmation mathématique, optimisation et calcul variationnel, Numerical methods in mathematical programming, optimization and calculus of variations, Optimisation et calcul variationnel numériques, Numerical methods in optimization and calculus of variations, Condition suffisante, Sufficient condition, Condición suficiente, Fonction réelle, Real function, Función real, Mathématiques appliquées, Applied mathematics, Matemáticas aplicadas, Méthode optimisation, Optimization method, Método optimización, Temps discret, Discrete time, Tiempo discreto, 26XX, 49XX, 65K10, 65Kxx, Limite supérieure, Bellman equation, Discrete-time dynamic optimization, Infinite horizon, Terminal condition
Document Type:
Academic journal
Article
File Description:
text
Language:
English
Author Affiliations:
Institute of Applied Mathematics and Mechanics, Warsaw University, ul. Banacha 2, 02-097, Poland
ISSN:
0893-9659
Rights:
Copyright 2015 INIST-CNRS
CC BY 4.0
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
CC BY 4.0
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
Notes:
Mathematics
Accession Number:
edscal.23928797
Database:
PASCAL Archive
Further Information
In this work a sufficient condition for deterministic dynamic optimization with discrete time and infinite horizon is formulated. It encompasses also situations where the instantaneous payoff/utility function can attain infinite values. The usual terminal condition for sufficiency of the Bellman equation requiring that the limit superior of the value function along each admissible trajectory is equal to 0 is replaced by a weaker one in which the limit superior of the value function can attain nonpositive values. This kind of terminal condition is applicable also to deterministic dynamic optimization problems with real-valued instantaneous payoff function in which the usual terminal condition does not hold.