Stochastic optimization of forward recursive functions |
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Authors: | Seiichi Iwamoto |
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Institution: | Department of Economic Engineering, Graduate School of Economics, Kyushu University 27, Hakozaki 6-19-1, Higashiku, Fukuoka 812-8581, Japan |
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Abstract: | This note solves a finite-horizon stochastic optimization problem with forward recursive criterion through dynamic programming. The forward recursive criterion is wide; it includes additive (discounted), multiplicative (discounted risk-sensitive), minimum and terminal criteria. The basic idea is to apply invariant imbedding method for the stochastic optimization. The method incorporates recursive accumulation process into dynamics by expanding the original state space. |
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