Solving infinite horizon optimization problems through analysis of a one-dimensional global optimization problem

Seksan Kiatsupaibul (), Robert L. Smith () and Zelda B. Zabinsky ()
Additional contact information
Seksan Kiatsupaibul: Chulalongkorn University
Robert L. Smith: The University of Michigan
Zelda B. Zabinsky: University of Washington

Journal of Global Optimization, 2016, vol. 66, issue 4, No 5, 727 pages

Abstract: Abstract Infinite horizon optimization (IHO) problems present a number of challenges for their solution, most notably, the inclusion of an infinite data set. This hurdle is often circumvented by approximating its solution by solving increasingly longer finite horizon truncations of the original infinite horizon problem. In this paper, we adopt a novel transformation that reduces the infinite dimensional IHO problem into an equivalent one dimensional optimization problem, i.e., minimizing a Hölder continuous objective function with known parameters over a closed and bounded interval of the real line. We exploit the characteristics of the transformed problem in one dimension and introduce an algorithm with a graphical implementation for solving the underlying infinite dimensional optimization problem.

Keywords: Infinite horizon optimization; Dynamic programming; Nonlinear programming; Hölder and Lipschitz continuous functions (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s10898-016-0423-7 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:jglopt:v:66:y:2016:i:4:d:10.1007_s10898-016-0423-7

Ordering information: This journal article can be ordered from
http://www.springer. ... search/journal/10898

DOI: 10.1007/s10898-016-0423-7

Access Statistics for this article

Journal of Global Optimization is currently edited by Sergiy Butenko

More articles in Journal of Global Optimization from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().