Asymptotic Behavior of the Value Functions of Discrete-Time Discounted Optimal Control

F. Wirth
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F. Wirth: Universität Bremen

Journal of Optimization Theory and Applications, 2001, vol. 110, issue 1, No 10, 183-210

Abstract: Abstract We study deterministic discounted optimal control problems associated with discrete-time systems. It is shown that, for small discount rates, the controllability properties of the underlying system can guarantee the convergence of the discounted value function to the value function of the average yield. An application in the theory of exponential growth rates of discrete inclusions is presented. This application motivates the analysis of infinite-horizon optimal control problems with running yields that are unbounded from below.

Keywords: discrete-time optimal control; discount rates; average yield; control sets; Lyapunov exponents (search for similar items in EconPapers)
Date: 2001
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DOI: 10.1023/A:1017503815092

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