Subgradients of value functions in parametric dynamic programming
https://doi.org/10.1016/j.ejor.2007.10.028Publisher, magazine: ,
Publication year: 2009
Lưu Trích dẫn Chia sẻAbstract
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.
Tags: Dynamic programming; Value functions; Fréchet normal cones; Fréchet subgradients; The Fréchet subdifferential.
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Subgradients of value functions in parametric dynamic programming