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On the rate of convergence of infinite horizon discounted optimal value functions

DOI zum Zitieren der Version auf EPub Bayreuth: https://doi.org/10.15495/EPub_UBT_00005474
URN to cite this document: urn:nbn:de:bvb:703-epub-5474-9

Title data

Grüne, Lars ; Wirth, Fabian:
On the rate of convergence of infinite horizon discounted optimal value functions.
Bayreuth , 2000

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Abstract

In this paper we investigate the rate of convergence of the optimal value function of an infinite horizon discounted optimal control problem as the discount rate tends to zero. Using the Integration Theorem for Laplace transformations we provide conditions on averaged functionals along suitable trajectories yielding at most quadratic pointwise convergence. Under appropriate controllability assumptions from this we derive criteria for at most linear uniform convergence on control sets. Applications of these results are given and an example is discussed in which both linear and slower rates of convergence occur.

Further data

Item Type: Preprint, postprint
Additional notes (visible to public): erschienen In:
Nonlinear Analysis : Real World Applications. Bd. 1 (Dezember 2000) Heft 4 . - S. 499-515
Keywords: rate of convergence; optimal value function; infinite horizon Discounted optimal control problem
DDC Subjects: 500 Science
500 Science > 510 Mathematics
Institutions of the University: Faculties > Faculty of Mathematics, Physics und Computer Science > Department of Mathematics > Chair Mathematics V (Applied Mathematics) > Chair Mathematics V (Applied Mathematics) - Univ.-Prof. Dr. Lars Grüne
Faculties
Faculties > Faculty of Mathematics, Physics und Computer Science
Faculties > Faculty of Mathematics, Physics und Computer Science > Department of Mathematics
Faculties > Faculty of Mathematics, Physics und Computer Science > Department of Mathematics > Chair Mathematics V (Applied Mathematics)
Language: English
Originates at UBT: Yes
URN: urn:nbn:de:bvb:703-epub-5474-9
Date Deposited: 07 May 2021 08:31
Last Modified: 07 May 2021 08:32
URI: https://epub.uni-bayreuth.de/id/eprint/5474

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