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Envelope theorems in dynamic programming

delete2001-01-01
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PRE
AI
F
Feilong Zhao *
A
Adi Ben-Israel
DOI：10.1023/A:1010978103974delete
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Abstract

Abstract

En 中文
The envelope theorem is a statement about derivatives along an optimal trajectory. In dynamic programming the envelope theorem can be used to characterize and compute the optimal value function from its derivatives. We illustrate this here for the linear-quadratic control problem, the resource allocation problem, and the inverse problem of dynamic programming.
Keywords:
envelope theorem
dynamic programming
resource allocation
inverse problem
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Key information extracted from the uploaded paper, including a brief overview, abstract, background, key highlights, visual analysis, and future outlook.

Journal

Annals of Operations Research cover
Annals of Operations Research
IF:
4.5
Papers:
8.0K
Citations:
2.1W

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No organization information available