Parametric concavity in stochastic dynam
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Ganesh Janakiraman; Sridhar Seshadri
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Article
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2011
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Elsevier Science
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English
⚖ 209 KB
We study a family of dynamic programs that are characterized by a deterministic vector of cost parameters. We show that if the single period cost function is concave with respect to this vector, then the optimal costs of the family of dynamic programs are also concave in the vector of costs. We also