On Aggregators and Dynamic Programming

Philippe Bich (), Jean-Pierre Drugeon () and Lisa Morhaim ()
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Philippe Bich: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, PSE - Paris School of Economics - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris Sciences et Lettres - EHESS - École des hautes études en sciences sociales - ENPC - École nationale des ponts et chaussées - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement
Jean-Pierre Drugeon: PSE - Paris School of Economics - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris Sciences et Lettres - EHESS - École des hautes études en sciences sociales - ENPC - École nationale des ponts et chaussées - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement
Lisa Morhaim: CRED - Centre de Recherche en Economie et Droit - UP2 - Université Panthéon-Assas

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

Abstract: In the tradition of Irving Fisher, the current article advocates an approach to dynamic programming that is based upon elementary aggregating functions where current action and future expected payoff combine to yield overall current payoff. Some regularity properties are provided on the aggregator which allow for establishing the existence, the uniqueness and the computation of the Bellman equation. Some order-theoretic foundations for such aggregators are also established. The aggregator line of argument encompasses and generalizes many previous results based upon additive or non-additive recursive payoff functions.

Keywords: dynamic programming; aggregators; intertemporal choice; choix intertemporel; aggrégateur; programmation dynamique (search for similar items in EconPapers)
Date: 2015-06
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-01169552v1
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Published in 2015

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