On The Principle of Optimality for Nonstationary Deterministic Dynamic Programming
2007/03/06
研討會日期 : 2007-03-06
時間 : 16:00
主講人 : Ms. Takashi Kamihigashi
地點 : B棟110會議室
演講者簡介 : Ms. Takashi Kamihigashi為Ph.D. in Economics，University of Wisconsin at Madison (1994)。
現為Professor，Institute for Economics & Business Administration，Kobe University。
其主要研究領域為總體經濟學。
演講摘要 : This note studies a general nonstationary infinite-horizon optimization problem in discrete time. We allow the state space in each period to be an arbitrary set, and the return function in each period to be unbounded. We do not require discounting, and do not require the constraint correspondence in each period to be nonempty-valued. The objective function is defined as the limit superior or inferior of the finite sums of return functions. We show that the sequence of time-indexed value functions satisfies the Bellman equation if and only if its right-hand side is well defined, i.e., it does not involve-∞+∞.
