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 |