Degeneracy in infinite horizon optimization
نویسندگان
چکیده
منابع مشابه
Degeneracy in infinite horizon optimization
We consider sequential decision problems over an infinite horizon. The forecast or solution horizon approach to solving such problems requires that the optimal initial decision be unique. We show that multiple optimal initial decisions can exist in general and refer to their existence as degeneracy. We then present a conceptual cost perturbation algorithm for resolving degeneracy and identifyin...
متن کاملConvergence of trajectories in infinite horizon optimization
In this paper, we investigate the convergence of a sequence of minimizing trajectories in infinite horizon optimization problems. The convergence is considered in the sense of ideals and their particular case called the statistical convergence. The optimality is defined as a total cost over the infinite horizon.
متن کاملSolvability in infinite horizon optimization
We give necessary and sufficient conditions for finite detection of an optimal initial decision for infinite horizon optimization under a broad set of assumptions and provide an algorithm that is guaranteed to solve every solvable problem under these assumptions. We illustrate the theory and algorithms developed with applications in production planning and equipment replacement.
متن کاملNon-convexity, Discounting and Infinite Horizon Optimization
We consider the discounted aggregative model of optimal economic growth with non-convex production technology. We review some of the important results on the nature and long run behavior of optimal accumulation paths and indicate how these differ qualitatively from the ones in the classical convex version of the model.
متن کاملSolving Nonstationary Infinite Horizon Dynamic Optimization Problems∗
Monotonicity of optimal solutions to finite horizon dynamic optimization problems is used to prove the existence of a forecast horizon, i.e a long enough planning horizon that ensures that a first period optimal action for the infinite horizon and the finite horizon problem agree, regardless of problem parameter changes in the tail. The existence of extremal monotone optimal solutions motivates...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Mathematical Programming
سال: 1989
ISSN: 0025-5610,1436-4646
DOI: 10.1007/bf01582295