Subgradients of value functions in parametric dynamic programming

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 fo...

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Veröffentlicht in:	European journal of operational research 2009-02, Vol.193 (1), p.12-22
Hauptverfasser:	Kien, B.T., Liou, Y.C., Wong, N.-C., Yao, J.-C.
Format:	Artikel
Sprache:	eng
Schlagworte:	Applied sciences Dynamic programming Dynamic programming Value functions Frechet normal cones Frechet subgradients The Frechet subdifferential Exact sciences and technology Fréchet normal cones Fréchet subgradients Mathematical functions Mathematical programming Operational research and scientific management Operational research. Management science Studies The Fréchet subdifferential Value functions
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Beschreibung
Zusammenfassung:	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.
ISSN:	0377-2217 1872-6860
DOI:	10.1016/j.ejor.2007.10.028