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
C61 D90
Keywords
  • Maximin principle
  • Non-convexities
  • Value fun-ion
  • Policy fun-ion
  • Supermodularity
Internal reference
  • PSE Working Papers n°2018-15
Version
  • 1