An application of Kleene's fixed point theorem to dynamic programming

Takashi Kamihigashi; Kevin Reffett; Masayuki Yao

doi:10.1111/ijet.12074

An application of Kleene's fixed point theorem to dynamic programming

Takashi Kamihigashi, Kevin Reffett, Masayuki Yao

Economics

Research output: Contribution to journal › Article › peer-review

7 Scopus citations

Abstract

We show that the least fixed point of the Bellman operator in a certain set can be computed by value iteration whether or not the fixed point is the value function. As an application, we give a simpler proof of one of Kamihigashi's main results.

Original language	English (US)
Pages (from-to)	429-434
Number of pages	6
Journal	International Journal of Economic Theory
Volume	11
Issue number	4
DOIs	https://doi.org/10.1111/ijet.12074
State	Published - Dec 2015

Keywords

Bellman equation
Dynamic programming
Fixed point
Value function

ASJC Scopus subject areas

Economics and Econometrics

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10.1111/ijet.12074

Cite this

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title = "An application of Kleene's fixed point theorem to dynamic programming",

abstract = "We show that the least fixed point of the Bellman operator in a certain set can be computed by value iteration whether or not the fixed point is the value function. As an application, we give a simpler proof of one of Kamihigashi's main results.",

keywords = "Bellman equation, Dynamic programming, Fixed point, Value function",

author = "Takashi Kamihigashi and Kevin Reffett and Masayuki Yao",

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AU - Yao, Masayuki

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PY - 2015/12

Y1 - 2015/12

N2 - We show that the least fixed point of the Bellman operator in a certain set can be computed by value iteration whether or not the fixed point is the value function. As an application, we give a simpler proof of one of Kamihigashi's main results.

AB - We show that the least fixed point of the Bellman operator in a certain set can be computed by value iteration whether or not the fixed point is the value function. As an application, we give a simpler proof of one of Kamihigashi's main results.

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KW - Fixed point

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An application of Kleene's fixed point theorem to dynamic programming

Abstract

Keywords

ASJC Scopus subject areas

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