On maximin dynamic programming and the rate of discount
Jean-Pierre Drugeon
- Fonction : Auteur
- PersonId : 1359205
- IdHAL : jean-pierre-drugeon
Thai Ha-Huy
- Fonction : Auteur
- PersonId : 1222333
- IdHAL : thai-ha-huy
- ORCID : 0000-0001-9384-834X
Résumé
This article establishes a dynamic programming argument for a maximin optimization problem where the agent completes a minimization over a set of discount rates. Even though the consideration of a maximin criterion results in a program that is not convex and not stationary over time, it is proved that a careful reference to extended dynamic programming principles and a maxmin functional equation however allows for circumventing these difficulties and recovering an optimal sequence that is time consistent.
Domaines
Economies et financesFormat du dépôt | Notice |
---|---|
Type de dépôt | Article dans une revue |
Résumé |
en
This article establishes a dynamic programming argument for a maximin optimization problem where the agent completes a minimization over a set of discount rates. Even though the consideration of a maximin criterion results in a program that is not convex and not stationary over time, it is proved that a careful reference to extended dynamic programming principles and a maxmin functional equation however allows for circumventing these difficulties and recovering an optimal sequence that is time consistent.
|
Titre |
en
On maximin dynamic programming and the rate of discount
|
Auteur(s) |
Jean-Pierre Drugeon
1, 2
, Thai Ha-Huy
3, 4
, Thi Do Hanh Nguyen
5
1
PSE -
Paris School of Economics
( 301309 )
- 48 boulevard Jourdan 75014 Paris
- France
2
PJSE -
Paris Jourdan Sciences Economiques
( 1171428 )
- 48 boulevard Jourdan 75014 Paris
- France
3
EPEE -
Centre d'Etudes des Politiques Economiques
( 19169 )
- 4, boulevard François Mitterrand, 91025 EVRY CEDEX
- France
4
TIMAS -
Institute of Mathematics and Applied Science
( 557622 )
- Viêt Nam
5
VMU -
Vietnam Maritime University [Hai Phon]
( 574364 )
- Viet Nam Maritime University
84 Lach Tray - Kenh Duong, Le Chan -
Hai Phong 04000, Vietnam
- Viêt Nam
|
Volume |
67
|
Numéro |
3
|
Page/Identifiant |
703-729
|
URL éditeur |
https://link.springer.com/article/10.1007/s00199-018-1166-0
|
Audience |
Internationale
|
Comité de lecture |
Oui
|
Vulgarisation |
Non
|
Nom de la revue |
|
Langue du document |
Anglais
|
Public visé |
Scientifique
|
Date de publication |
2019-12
|
Domaine(s) |
|
Mots-clés (JEL) |
|
Mots-clés |
en
Policy function, Supermodularity, Value function, Non-convexities, Maximin principle
|
DOI | 10.1007/s00199-018-1166-0 |
UT key WOS | 000469816900009 |
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