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The Dual Approach to Recursive Optimization

Messner, M; Pavoni, N; (2008) The Dual Approach to Recursive Optimization. UNSPECIFIED

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Abstract

This paper brings together the theory of duality and dynamic programming. Despite the interest in this theory partially comes form the computational advantages that the application of the theory might convey, this paper is not about numerical methods or computational procedures. It shows theorems that derive the corresponding Bellman principle in dual problems. We show that the Bellman principle may fail in certain cases due to the use of the 'wrong' state variables the dual approach implies.

Type: Other
Title: The Dual Approach to Recursive Optimization
UCL classification: UCL > Provost and Vice Provost Offices
UCL > Provost and Vice Provost Offices > UCL SLASH
UCL > Provost and Vice Provost Offices > UCL SLASH > Faculty of SandHS > Dept of Economics
URI: http://discovery.ucl.ac.uk/id/eprint/178520
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