An envelope theorem and some applications to discounted Markov decision processes
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DOI: 10.1007/s00186-007-0155-z
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- Mauro Gaggero & Giorgio Gnecco & Marcello Sanguineti, 2014. "Approximate dynamic programming for stochastic N-stage optimization with application to optimal consumption under uncertainty," Computational Optimization and Applications, Springer, vol. 58(1), pages 31-85, May.
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More about this item
Keywords
Envelope theorem; Discounted Markov decision process; Differentiability of the optimal value function; Differentiability of the optimal policy; Economic growth model; 90C40; 93E20;All these keywords.
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