A class of intertemporal optimization models characterized by a recursive objective functional obtained as the limit of iterations of the Koopmans aggregator is considered. We focus on negative dynamic programming problems in which aggregators may be unbounded from below and establish existence of an optimal solution under the assumption of strong concavity for the aggregator, both in the deterministic and in the stochastic settings.
Negative dynamic programming with non-additively time-separable objectives
Montrucchio, Luigi;Privileggi, Fabio
2024-01-01
Abstract
A class of intertemporal optimization models characterized by a recursive objective functional obtained as the limit of iterations of the Koopmans aggregator is considered. We focus on negative dynamic programming problems in which aggregators may be unbounded from below and establish existence of an optimal solution under the assumption of strong concavity for the aggregator, both in the deterministic and in the stochastic settings.
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