The envelope theorem is a statement about derivatives along an optimal trajectory. In dynamic programming the envelope theorem can be used to characterize and compute the optimal value function from its derivatives. We illustrate this here for the linear-quadratic control problem, the resource allocation problem, and the inverse problem of dynamic programming.
All Science Journal Classification (ASJC) codes
- Decision Sciences(all)
- Management Science and Operations Research
- Dynamic programming
- Envelope theorem
- Inverse problem
- Resource allocation