ε‐Optimal Value and Approximate Multidimensional Dual Dynamic Programming
Andrzej Nowakowski · Asian Journal of Control · 2012
Abstract This paper develops an approximate dual dynamic programming for an ε− optimal multidimensional control problem governed by first order hyperbolic equations. The problem considered is of the Dieudonne‐Rashevsky type and contains as a particular case class‐qualified deposit and Capital theory problems. It is proven that each Lipschitz continuous function satisfying the dual Hamilton‐Jacobi inequality can be used to define an ε‐optimal value.