Existence and Uniqueness of a Fixed Point for the Bellman Operator in Deterministic Dynamic Programming

We study existence and uniqueness of a fixed point for the Bellman operator in deterministic dynamic programming. Without any topological assumption, we show that the Bellman operator has a unique fixed point in a restricted domain, that this fixed point is the value function, and that the value function can be computed by value iteration.

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Year of publication:	2012-02
Authors:	Kamihigashi, Takashi
Institutions:	Research Institute for Economics and Business Administration, Kobe University
Subject:	Dynamic programming \| Bellman operator \| Value function \| Fixed point

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Extent:	application/pdf
Series:	Discussion Paper Series. - ISSN 1345-2207.
Type of publication:	Book / Working Paper
Notes:	Number DP2012-05 14 pages
Classification:	C61 - Optimization Techniques; Programming Models; Dynamic Analysis
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009493055