A new method of proving structural properties for certain class of stochastic dynamic control problems

Authors:
Weifen Zhuang;Michael Z. F. Li
Affiliations:
Desautels Faculty of Management, McGill University, Montreal, Quebec H3A 1G5, Canada;Nanyang Business School, Nanyang Technological University, Singapore 639798, Singapore
Venue:
Operations Research Letters
Year:
2010

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Abstract

This paper introduces the multimodularity concept to study structural properties for certain class of stochastic dynamic control problems through a new efficient approach. We demonstrate that this approach can substantially simplify the proofs of the main results of one recent article and provide an alternative method for two other models in the literature.