Completely abstract dynamic programming

John Stachurski is a mathematical and computational economist based at the Australian National University who works on algorithms at the intersection of dynamic programming, Markov dynamics, economics and finance. His work is published in such journals as Econometrica, Journal of Finance, Automatica, and Operations Research. In 2016 John co-founded QuantEcon with Thomas J. Sargent and he has lectured and run workshops on open source and high performance computing at many places around the world.  He has two forthcoming books from Cambridge University Press, both jointly written with Tom Sargent, one on dynamic programming and the other on Economic Networks.

We introduce a completely abstract dynamic programming framework in which dynamic programs are sets of policy operators acting on a partially ordered space. We provide an optimality theory based on high-level assumptions. We then study symmetric and asymmetric relationships between dynamic programs, and show how these relationships transmit optimality properties. Our formulation includes and extends applications of dynamic programming across many fields.