Duality Theory for Infinite Horizon Convex Models

@article{weitzman-73, abstract = {Often it is desirable to formulate certain decision problems without specifying a cut-off date and terminal conditions (which are sometimes felt to be arbitrary). This paper examines the duality theory that goes along with the kind of open-ended convex programming models frequently encountered in mathematical economics and operations research. Under a set of general axioms, duality conditions necessary and sufficient for infinite horizon optimality are derived. The proof emphasizes the close connection between duality theory for infinite horizon convex models and dynamic programming. Dual prices with the required properties are inductively constructed in each period as supports to the state evaluation function.}, author = {Weitzman, Martin L.}, citeulike-article-id = {120312}, journal = {Management Science}, keywords = {aarmacro, macroeconomics}, number = {7}, pages = {783--789}, posted-at = {2005-03-10 23:25:20}, priority = {2}, title = {Duality Theory for Infinite Horizon Convex Models}, url = {http://www.jstor.org/stable/2629418}, volume = {19}, year = {1973} }

TY - JOUR ID - weitzman-73 L3 - citeulike-article-id:120312 N2 - Often it is desirable to formulate certain decision problems without specifying a cut-off date and terminal conditions (which are sometimes felt to be arbitrary). This paper examines the duality theory that goes along with the kind of open-ended convex programming models frequently encountered in mathematical economics and operations research. Under a set of general axioms, duality conditions necessary and sufficient for infinite horizon optimality are derived. The proof emphasizes the close connection between duality theory for infinite horizon convex models and dynamic programming. Dual prices with the required properties are inductively constructed in each period as supports to the state evaluation function. IS - 7 JF - Management Science EP - 789 TI - Duality Theory for Infinite Horizon Convex Models VL - 19 SP - 783 KW - aarmacro KW - macroeconomics AU - Weitzman, Martin PY - 1973/// UR - http://www.jstor.org/stable/2629418 ER -