Bellman Equation
Table of Contents
1. Bellman Equation/Iteration preserves Convexity
- Bellman Equation preserves convexity. i.e. if the function to optimize is convex then formulating it in Bellman Equation forms (sum of an Expectation at state, and a Value function at next state) preserves convexity. (https://youtu.be/Gtz4yRUCy4E?t=548)
- Expectation preserves convextiy
- Partial minimization (minimizing one group of variables keeping other constant) preserves convexity
