On Maximin Optimization Problems & the Rate of Discount: a Simple Dynamic Programming Argument
Pre-print, Working paper: This article establishes a dynamic programming argument for a maximin optimization problem where the agent completes a minimization over a set of discount rates. Even though the consideration of a maximin criterion results in a program that is not convex and not stationary over time, it is proved that a careful reference to extended dynamic programming principles and a maxmin functional equation however allows for circumventing these difficulties and recovering an optimal sequence that is time consistent. This in its turn brings about a stationary dynamic programming argument.
Author(s)
Jean-Pierre Drugeon, Thai Ha-Huy, Thi-Do-Hanh Nguyen
Date of publication
- 2018
Keywords JEL
Keywords
- Maximin principle
- Non-convexities
- Value fun-ion
- Policy fun-ion
- Supermodularity
Internal reference
- PSE Working Papers n°2018-15
URL of the HAL notice
Version
- 1