Subgradients of value functions in parametric dynamic programming |
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| Authors: | B.T. Kien Y.C. Liou N.-C. Wong J.-C. Yao |
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| Affiliation: | 1. Department of Applied Mathematics, National Sun Yat-Sen University, Kaohsiung 804, Taiwan;2. Department of Information Management, Cheng-Shiu University, Taiwan |
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| Abstract: | ![]()
We study in this paper the first-order behavior of value functions in parametric dynamic programming with linear constraints and nonconvex cost functions. By establishing an abstract result on the Fréchet subdifferential of value functions of parametric mathematical programming problems, some new formulas on the Fréchet subdifferential of value functions in parametric dynamic programming are obtained. |
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| Keywords: | Dynamic programming Value functions Fré chet normal cones Fré chet subgradients The Fré chet subdifferential |
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