Subgradients of value functions in parametric dynamic programming

B.T. Kien, Y.C. Liou, N.-C. Wong and J.-C. Yao

European Journal of Operational Research, 2009, vol. 193, issue 1, 12-22

Abstract: We study in this paper the first-order behavior of value functions in parametric dynamic programming with linear constraints and nonconvex cost functions. By establishing an abstract result on the Frechet subdifferential of value functions of parametric mathematical programming problems, some new formulas on the Frechet subdifferential of value functions in parametric dynamic programming are obtained.

Keywords: Dynamic; programming; Value; functions; Frechet; normal; cones; Frechet; subgradients; The; Frechet; subdifferential (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:193:y:2009:i:1:p:12-22

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