eprintid: 1792
rev_number: 4
eprint_status: archive
userid: 46
dir: disk0/00/00/17/92
datestamp: 2013-09-17 13:12:13
lastmod: 2013-09-17 13:12:13
status_changed: 2013-09-17 13:12:13
type: article
succeeds: 1702
metadata_visibility: show
creators_name: Gnecco, Giorgio
creators_name: Sanguineti, Marcello
creators_id: giorgio.gnecco@imtlucca.it
creators_id: 
title: Value and Policy Function Approximations in Infinite-Horizon Optimization Problems
ispublished: pub
subjects: QA75
divisions: CSA
full_text_status: none
keywords: Dynamic optimization, Dynamic programming, Infinite horizon, Approximation schemes, Suboptimal solutions
abstract:  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. 
date: 2008
date_type: published
publication: Journal of Dynamical Systems and Geometric Theories
volume: 6
number: 2
publisher: Taylor&Francis
pagerange: 123-147
id_number: 10.1080/1726037X.2008.10698552
refereed: TRUE
issn: 1726-037X
official_url: http://www.tandfonline.com/doi/abs/10.1080/1726037X.2008.10698552
citation:   Gnecco, Giorgio and Sanguineti, Marcello  Value and Policy Function Approximations in Infinite-Horizon Optimization Problems.  Journal of Dynamical Systems and Geometric Theories, 6 (2).  pp. 123-147.  ISSN 1726-037X      (2008)