A Bellman approach to periodic optimization problems

Sturla F. Kvamsdal (), José M. Maroto (), Manuel Morán () and Leif Sandal ()
Additional contact information
Sturla F. Kvamsdal: SNF – Centre for Applied Research, Postal: SNF – Centre for Applied Research, Helleveien 30, N-5045 Bergen, Norway
José M. Maroto: Dept. of Statistics and Operations Research II, Complutense University of Madrid, Postal: Complutense University of Madrid , Department of Statistics and Operations Research II, 28223 Madrid, Spain, http://www.grupoecofractal.com/en/members/jmmaroto
Manuel Morán: Dept. of Foundation of Economic Analysis I, Complutense University of Madrid, Postal: Complutense University of Madrid , Department of Foundation of Economic Analysis I, 28223 Madrid, Spain, http://www.grupoecofractal.com/es/miembros/mmoran

No 2016/19, Discussion Papers from Norwegian School of Economics, Department of Business and Management Science

Abstract: We consider an infinite horizon optimization problem with arbitrary but finite periodicity in discrete time. The problem can be formulated as a fix-point problem for a contraction operator, and we provide a solution scheme for this class of problems. Our approach is an extension of the classical Bellman problem to the special case of non-autonomy that periodicity represents. Solving such problems paves the way for consistent and rigorous treatment of, for example, seasonality in discrete dynamic optimization. In an illustrative example, we consider the decision problem in a fishery with seasonal fluctuations. The example demonstrates that rigorous treatment of periodicity has profound influence on the optimal policy dynamics compared to the case where seasonality is abstracted from by considering average effects only.

Keywords: Bellman; optimization; periodicity; contraction operator; solution scheme (search for similar items in EconPapers)
JEL-codes: C61 Q22 Q57 (search for similar items in EconPapers)
Pages: 14 pages
Date: 2016-11-30
New Economics Papers: this item is included in nep-dge
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://hdl.handle.net/11250/2423707 (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://hdl.handle.net/11250/2423707 [302 Found]--> https://www.unit.no/brage-denne-lenken-er-ikke-lenger-gyldig [301 Moved Permanently]--> https://sikt.no/brage-denne-lenken-er-ikke-lenger-gyldig)

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:hhs:nhhfms:2016_019

Access Statistics for this paper

More papers in Discussion Papers from Norwegian School of Economics, Department of Business and Management Science NHH, Department of Business and Management Science, Helleveien 30, N-5045 Bergen, Norway. Contact information at EDIRC.
Bibliographic data for series maintained by Stein Fossen ().