Cristin-resultat-ID: 1957753
Sist endret: 3. januar 2022, 13:22
NVI-rapporteringsår: 2021
Resultat
Vitenskapelig artikkel
2021

A contraction approach to dynamic optimization problems

Bidragsytere:
  • Leif Kristoffer Sandal
  • Sturla Furunes Kvamsdal
  • Jose M. Maroto og
  • Manuel Moran

Tidsskrift

PLOS ONE
ISSN 1932-6203
e-ISSN 1932-6203
NVI-nivå 1

Om resultatet

Vitenskapelig artikkel
Publiseringsår: 2021
Publisert online: 2021
Volum: 16
Hefte: 11
Open Access

Importkilder

Scopus-ID: 2-s2.0-85119995897

Beskrivelse Beskrivelse

Tittel

A contraction approach to dynamic optimization problems

Sammendrag

An infinite-horizon, multidimensional optimization problem with arbitrary yet finite periodicity in discrete time is considered. The problem can be posed as a set of coupled equations. It is shown that the problem is a special case of a more general class of contraction problems that have unique solutions. Solutions are obtained by considering a vector-valued value function and by using an iterative process. Special cases of the general class of contraction problems include the classical Bellman problem and its stochastic formulations. Thus, our approach can be viewed as an extension of the Bellman problem to the special case of nonautonomy that periodicity represents, and our approach thereby facilitates consistent and rigorous treatment of, for example, seasonality in discrete, dynamic optimization, and furthermore, certain types of dynamic games. The contraction approach is illustrated in simple examples. In the main example, which is an infinite-horizon resource management problem with a periodic price, it is found that the optimal exploitation level differs between high and low price time intervals and that the solution time paths approach a limit cycle.

Bidragsytere

Aktiv cristin-person

Leif Kristoffer Sandal

  • Tilknyttet:
    Forfatter
    ved Institutt for foretaksøkonomi ved Norges Handelshøyskole

Sturla Furunes Kvamsdal

  • Tilknyttet:
    Forfatter
    ved Samfunns- og næringslivsforskning AS

Jose M. Maroto

  • Tilknyttet:
    Forfatter
    ved Universidad Complutense de Madrid

Manuel Moran

  • Tilknyttet:
    Forfatter
    ved Universidad Complutense de Madrid
1 - 4 av 4