Scandinavian Working Papers in Economics
HomeAboutSeriesSubject/JEL codesAdvanced Search
Department of Business and Management Science, Norwegian School of Economics (NHH) Discussion Papers, Department of Business and Management Science, Norwegian School of Economics (NHH)

No 2016/19:
A Bellman approach to periodic optimization problems

Sturla F. Kvamsdal (), José M. Maroto (), Manuel Morán () and Leif K. Sandal ()

Abstract: We consider an infinite horizon optimization problem with arbitrary but finite periodicity in discrete time. The problem can be formulated as a fix-point problem for a contraction operator, and we provide a solution scheme for this class of problems. Our approach is an extension of the classical Bellman problem to the special case of non-autonomy that periodicity represents. Solving such problems paves the way for consistent and rigorous treatment of, for example, seasonality in discrete dynamic optimization. In an illustrative example, we consider the decision problem in a fishery with seasonal fluctuations. The example demonstrates that rigorous treatment of periodicity has profound influence on the optimal policy dynamics compared to the case where seasonality is abstracted from by considering average effects only.

Keywords: Bellman; optimization; periodicity; contraction operator; solution scheme; (follow links to similar papers)

JEL-Codes: C61; Q22; Q57; (follow links to similar papers)

14 pages, November 30, 2016

Before downloading any of the electronic versions below you should read our statement on copyright.
Download GhostScript for viewing Postscript files and the Acrobat Reader for viewing and printing pdf files.

Full text versions of the paper:

2423707    PDF-file
Download Statistics

Questions (including download problems) about the papers in this series should be directed to Stein Fossen ()
Report other problems with accessing this service to Sune Karlsson () or Helena Lundin ().

Programing by
Design by Joachim Ekebom

Handle: RePEc:hhs:nhhfms:2016_019 This page was generated on 2016-11-30 14:44:47