The Dual Approach to Recursive Optimization: Theory and Examples
82 Pages Posted: 26 Oct 2011 Last revised: 5 Mar 2016
Date Written: September 19, 2015
We bring together the theories of duality and dynamic programming. We show that the dual of a separable dynamic optimization problem can be recursively decomposed. We provide a dual version of the principle of optimality and give conditions under which the dual Bellman operator is a contraction with the optimal dual value function its unique fixed point. We relate primal and dual problems, address computational issues and give examples.
Keywords: Dynamic Programming, Duality, Dynamic Contracts
JEL Classification: C61, C73, D82, E61
Suggested Citation: Suggested Citation
Pavoni, Nicola and Sleet, Christopher M. and Messner, Matthias, The Dual Approach to Recursive Optimization: Theory and Examples (September 19, 2015). Available at SSRN: https://ssrn.com/abstract=1949860 or http://dx.doi.org/10.2139/ssrn.1949860
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