The New Palgrave Dictionary of Economics

2018 Edition
| Editors: Macmillan Publishers Ltd

Dynamic Programming and Markov Decision Processes

  • Steven A. Lippman
Reference work entry
DOI: https://doi.org/10.1057/978-1-349-95189-5_80

Abstract

A great many problems in economics can be reduced to determining the maximum of a given function. Dynamic programming is one of a number of mathematical optimization techniques applicable in such problems. As will be illustrated, the dynamic programming technique or viewpoint is particularly useful in complex optimization problems with many variables in which time plays a crucial role. Unlike calculus-based techniques it does not require the function being optimized to be differentiable in the (decision) variables.

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Copyright information

© Macmillan Publishers Ltd. 2018

Authors and Affiliations

  • Steven A. Lippman
    • 1
  1. 1.