The Dual Approach to Recursive Optimization: Theory and Examples

Nicola Pavoni, Christopher Sleet and Matthias Messner
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Christopher Sleet: Carnegie Mellon University

No 1267, 2014 Meeting Papers from Society for Economic Dynamics

Abstract: We bring together the theories of duality and dynamic programming. We show that the dual of a separable dynamic optimization problem can be recursively decomposed. We provide a dual version of the principle of optimality and give conditions under which the dual Bellman operator is a contraction with the optimal dual value function its unique fixed point. We relate primal and dual problems, address computational issues and give examples.

Date: 2014
New Economics Papers: this item is included in nep-dge, nep-mfd and nep-mic
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Journal Article: The Dual Approach to Recursive Optimization: Theory and Examples (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:red:sed014:1267

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