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VOL. 53 | 2009 Golden optimal path in discrete-time dynamic optimization processes
Seiichi Iwamoto, Masami Yasuda

Editor(s) Saber Elaydi, Kazuo Nishimura, Mitsuhiro Shishikura, Nobuyuki Tose

Abstract

We are concerned with dynamic optimization processes from a viewpoint of Golden optimality. A path is called Golden if any state moves to the next state repeating the same Golden section in each transition. A policy is called Golden if it, together with a relevant dynamics, yields a Golden path. The problem is whether an optimal path/policy is Golden or not. This paper minimizes a quadratic criterion and maximizes a square-root criterion over an infinite horizon. We show that a Golden path is optimal in both optimizations. The Golden optimal path is obtained by solving a corresponding Bellman equation for dynamic programming. This in turn admits a Golden optimal policy.

Information

Published: 1 January 2009
First available in Project Euclid: 28 November 2018

zbMATH: 1179.90253
MathSciNet: MR2582407

Digital Object Identifier: 10.2969/aspm/05310077

Rights: Copyright © 2009 Mathematical Society of Japan

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