Published June 2010 | Version v1
Journal article

Two Characterizations of Optimality in Dynamic Programming

  • 1. Columbia University, Department of Mathematics (United States)
  • 2. University of Minnesota, School of Statistics (United States)

Description

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.

Additional details

Identifiers

Publishing Information

Journal Title
Applied Mathematics and Optimization
Journal Volume
61
Journal Issue
3
Journal Page Range
p. 421-434
ISSN
0095-4616

INIS

Country of Publication
United States
Country of Input or Organization
International Atomic Energy Agency (IAEA)
INIS RN
42072401
Subject category
S97: MATHEMATICAL METHODS AND COMPUTING;
Descriptors DEI
DYNAMIC PROGRAMMING; ECONOMIC ANALYSIS; EQUATIONS; MATHEMATICAL MODELS; OPTIMIZATION
Descriptors DEC
CALCULATION METHODS; ECONOMICS

Optional Information

Copyright
Copyright (c) 2010 Springer Science+Business Media, LLC