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Envelope theorems in dynamic programming. (English) Zbl 0996.90079

Summary: The envelope theorem is a statement about derivatives along an optimal trajectory. In dynamic programming the envelope theorem can be used to characterize and compute the optimal value function from its derivatives. We illustrate this here for the linear-quadratic control problem, the resource allocation problem, and the inverse problem of dynamic programming.

MSC:

90C31 Sensitivity, stability, parametric optimization
49N10 Linear-quadratic optimal control problems
91B32 Resource and cost allocation (including fair division, apportionment, etc.)
90C39 Dynamic programming
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