On Stationary Policies--The General Case
Orkin, Michael
Ann. Statist., Tome 2 (1974) no. 1, p. 219-222 / Harvested from Project Euclid
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A recent result of Blackwell states that in a positive dynamic programming problem with countable state space, if there is an optimal policy, then there is a stationary optimal policy. We extend this result by allowing the state space to be Borel and by proving that if there is an optimal policy, then for any probability measure $\mu$ on the state space there is a stationary policy which is optimal on a set of $\mu$ measure 1.
Publié le : 1974-01-14
Classification:  Positive dynamic programming,  optimal policy stationary policy,  measurable policy,  martingale,  49C15,  90A05,  49A99,  60G45 
@article{1176342629,
     author = {Orkin, Michael},
     title = {On Stationary Policies--The General Case},
     journal = {Ann. Statist.},
     volume = {2},
     number = {1},
     year = {1974},
     pages = { 219-222},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176342629}
}

Orkin, Michael. On Stationary Policies--The General Case. Ann. Statist., Tome 2 (1974) no. 1, pp.  219-222. http://gdmltest.u-ga.fr/item/1176342629/