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From Value Bounds to Policy-Distance and Active-Face Certificates: Same-Grid Duality for Constrained Dynamic Portfolios

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  • Jeonggyu Huh

Abstract

Neural and numerical policy solvers can produce feasible controls even when the optimal rule and its binding constraints are unavailable. A primal-dual bracket certifies value loss, but it does not locate the optimal policy or explain which constraints genuinely bind. We show that, on the same declared simulation grid, one bracket can support both conclusions. For polyhedral controls, an exact conditional budget identity rewrites the residual as a pathwise nonnegative terminal Fenchel defect plus date-by-constraint complementary-slackness terms. A canonical Doob compensation removes the budget martingale that obscures small residuals. Bellman-primitive curvature conditions then yield an occupancy-weighted policy region with the sharp O(sqrt(G)) radius, while a paired constraint relaxation lower-bounds the optimal multiplier and certifies a binding face. A finite-sample resolution theorem quantifies the path budget needed to certify a target policy tolerance or face. Locked one-asset and two-asset audits cover every external policy error and make no false face declaration. An exact-wrapper stress test remains tight through 50 assets, while a separate state-dependent pilot identifies learned-dual tightness as the high-dimensional bottleneck. Reference solutions enter only after certification.

Suggested Citation

  • Jeonggyu Huh, 2026. "From Value Bounds to Policy-Distance and Active-Face Certificates: Same-Grid Duality for Constrained Dynamic Portfolios," Papers 2608.05901, arXiv.org.
  • Handle: RePEc:arx:papers:2608.05901
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    References listed on IDEAS

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    1. Ma, Jingtang & Li, Wenyuan & Zheng, Harry, 2020. "Dual control Monte-Carlo method for tight bounds of value function under Heston stochastic volatility model," European Journal of Operational Research, Elsevier, vol. 280(2), pages 428-440.
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