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

Jean-Pierre Drugeon, Thai Ha-Huy () and Thi-Do-Hanh Nguyen ()
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Thai Ha-Huy: EPEE - Centre d'Etudes des Politiques Economiques - UEVE - Université d'Évry-Val-d'Essonne
Thi-Do-Hanh Nguyen: Vietnam Maritime University

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Abstract: 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.

Keywords: supermodularity; policy fun-ion; maximin principle; non-convexities; value fun-ion (search for similar items in EconPapers)
Date: 2018-04
New Economics Papers: this item is included in nep-mic and nep-sea
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