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Pré-Publication, Document De Travail Année : 2018

On Maximin Optimization Problems & the Rate of Discount: a Simple Dynamic Programming Argument

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. This in its turn brings about a stationary dynamic programming argument.
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Dates et versions

halshs-01761997 , version 1 (09-04-2018)
halshs-01761997 , version 2 (20-11-2023)

Identifiants

  • HAL Id : halshs-01761997 , version 1

Citer

Jean-Pierre Drugeon, Thai Ha-Huy, Thi-Do-Hanh Nguyen. On Maximin Optimization Problems & the Rate of Discount: a Simple Dynamic Programming Argument. 2018. ⟨halshs-01761997v1⟩
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