Open Access
Original Articles
Value and Policy Function Approximations in Infinite-Horizon Optimization Problems
Giorgio Gneccogiorgio.gnecco@dist.unige.itDepartment of Mathematics (Dima)University of GenoaVia Dodecaneso 35, Genova, 16146, ItalyView full profile → , Marcello Sanguinetimarcello@dist.unige.itDepartment of CommunicationsComputer, and System Sciences (Dist)University of GenoaVia Opera Pia 13, 16145 Genova, ItalyView full profile →
* Corresponding author · click or hover a name for details
- Published Online:
- 03 Jun 2013
- Article type:
- Original Articles
- Language:
- EN
- Article no.:
- 1726037X.2008.10698552
- Pages:
- 123–147
Abstract
Suboptimal solutions to infinite-horizon dynamic optimization problems with continuous state are considered. An underlying dynamical system determining the state transition between each stage and the next one is modelled via the constraints (xx+1) ∈ D, t = 0, 1, …, where X is the set to which the state vector belongs and D ⊆ X × X is a correspondence. An error analysis is performed for two cases: approximation of the value function and approximation of the optimal policy function. Structural properties of the dynamic optimization problems are derived, allowing to restrict a priori the approximation to families of functions characterized by certain smoothness properties. The two approximation approaches are compared and the respective pros and cons are highlighted.
Keywords
References
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