On Maximin Optimization Problems & the Rate of Discount: a Simple Dynamic Programming Argument
Thai Ha-Huy () and
Thi-Do-Hanh Nguyen ()
Additional contact information
Thai Ha-Huy: EPEE - Centre d'Etudes des Politiques Economiques - UEVE - Université d'Évry-Val-d'Essonne
Thi-Do-Hanh Nguyen: Vietnam Maritime University
Working Papers from HAL
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)
New Economics Papers: this item is included in nep-mic and nep-sea
Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-01761997
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
Working Paper: On Maximin Optimization Problems & the Rate of Discount: a Simple Dynamic Programming Argument (2018)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:hal:wpaper:halshs-01761997
Access Statistics for this paper
More papers in Working Papers from HAL
Bibliographic data for series maintained by CCSD ().