An Optimality Condition for Discrete Dynamic Programming with no Discounting
نویسندگان
چکیده
منابع مشابه
Discrete Element Modeling of Dynamic Compaction with Different Tamping Condition
Dynamic Compaction (DC) is a common deep compaction method that is usually used for densification of coarse-grained soils. Although traditional continuum-based models such as the Finite Element Method can be successfully applied for assessment of stress distributions or deformations induced by DC, they are typically not adequate for capturing the grain scale mechanisms of soil behavior under im...
متن کاملA Practical Optimality Condition without Constraint Qualiications for Nonlinear Programming
A new optimality condition for minimization with general constraints is introduced. Unlike the KKT conditions, this condition is satissed by local minimizers of nonlinear programming problems, independently of constraint qualiications. The new condition implies, and is strictly stronger than, Fritz-John optimality conditions. Suu-ciency for convex programming is proved.
متن کاملPersistently Optimal Policies in Stochastic Dynamic Programming with Generalized Discounting
In this paper we study a Markov decision process with a non-linear discount function. Our approach is in spirit of the von Neumann-Morgenstern concept and is based on the notion of expectation. First, we define a utility on the space of trajectories of the process in the finite and infinite time horizon and then take their expected values. It turns out that the associated optimization problem l...
متن کاملDiscrete Dynamic Programming
We consider a decision problem taking place over time. In each time period, the single player can take an action by α ∈ A , an action space. All information relevant to the future is incorporated in a state variable y Y ∈ , the state space. The dynamics of y are determined by a transition probability π α ( ’ , ) y y . We define the set of states reachable with some probability under some circum...
متن کاملTwo Characterizations of Optimality in Dynamic Programming
It holds in great generality that a plan is optimal for a dynamic programming problem, if and only if it is “thrifty” and “equalizing.” An alternative characterization of an optimal plan, that applies in many economic models, is that the plan must satisfy an appropriate Euler equation and a transversality condition. Here we explore the connections between these two characterizations.
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: The Annals of Mathematical Statistics
سال: 1968
ISSN: 0003-4851
DOI: 10.1214/aoms/1177698247