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This article establishes a dynamic programming argument for a maximin optimization problem where the agent completes a minimization over a set of discount rates. Even though the consideration of a… Click to show full abstract
This article establishes a dynamic programming argument for a maximin optimization problem where the agent completes a minimization over a set of discount rates. Even though the consideration of a maximin criterion results in a program that is not convex and not stationary over time, it is proved that a careful reference to extended dynamic programming principles and a maxmin functional equation however allows for circumventing these difficulties and recovering an optimal sequence that is time consistent.
Keywords:
discount;
maximin;
maximin dynamic;
dynamic programming;
programming rate
Journal Title: Economic Theory
Year Published: 2018
Link to full text (if available)
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Journal Title: Economic Theory
Year Published: 2018
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!