TY  - JOUR
AV  - none
TI  - Value and Policy Function Approximations in Infinite-Horizon Optimization Problems
ID  - eprints1702
IS  - 2
UR  - http://www.tandfonline.com/doi/abs/10.1080/1726037X.2008.10698552
KW  - Dynamic optimization
KW  -  Dynamic programming
KW  -  Infinite horizon
KW  -  Approximation schemes
KW  -  Suboptimal solutions
VL  - 6
PB  - Taylor&Francis
EP  - 147
SP  - 123
A1  - Gnecco, Giorgio
A1  - Sanguineti, Marcello
N2  -  Abstract Suboptimal solutions to infinite-horizon dynamic optimization problems with continuous state are considered. An underlying dynamical system determining the state transition between each stage and the next one is modelled via the constraints (xt, xt +1) ? D, t = 0, 1, ?, where X is the set to which the state vector belongs and D ? X × X is a correspondence. An error analysis is performed for two cases: approximation of the value function and approximation of the optimal policy function. Structural properties of the dynamic optimization problems are derived, allowing to restrict a priori the approximation to families of functions characterized by certain smoothness properties. The two approximation approaches are compared and the respective pros and cons are highlighted. 
JF  - Journal of Dynamical Systems and Geometric Theories 
SN  - 1726-037X
Y1  - 2008///
ER  -