An Optimality Condition for Discrete Dynamic Programming with no Discounting

Denardo, E. V.; Miller, B. L.

Ann. Math. Statist., Tome 39 (1968) no. 6, p. 1220-1227 / Harvested from Project Euclid

Résumé

In this paper we consider the discrete time finite state Markov decision problem with Veinott's criterion of maximizing the Cesaro mean of the vector of expected returns received in a finite horizon as the horizon tends to infinity. A necessary and sufficient condition for optimality is obtained, and at the same time we verify Veinott's conjecture that there are optimal stationary policies.

Publié le : 1968-08-14
Classification:

@article{1177698247,
     author = {Denardo, E. V. and Miller, B. L.},
     title = {An Optimality Condition for Discrete Dynamic Programming with no Discounting},
     journal = {Ann. Math. Statist.},
     volume = {39},
     number = {6},
     year = {1968},
     pages = { 1220-1227},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1177698247}
}

Denardo, E. V.; Miller, B. L. An Optimality Condition for Discrete Dynamic Programming with no Discounting. Ann. Math. Statist., Tome 39 (1968) no. 6, pp.  1220-1227. http://gdmltest.u-ga.fr/item/1177698247/