AN OPTIMALITY CONDITION FOR DISCRETE DYNAMIC PROGRAMMING WITH NO DISCOUNTING,

Abstract

The report presents a discussion of undiscounted problems having infinite planning horizons. The study develops an optimality condition for the discrete time, finite stage Markov decision problem with Veinott's criterion of maximizing the Cesaro mean of the vector returns in a finite horizon as the horizon tends to infinity. Veinott's conjecture that there are optimal stationary policies is also verified.

Document Details

Document Type
Technical Report
Publication Date
Dec 01, 1967
Accession Number
AD0663406

Entities

People

  • B. L. Miller
  • E. V. Denardo

Organizations

  • RAND Corporation

Tags

DTIC Thesaurus Topics

  • Applied Mathematics
  • Computer Programming
  • Computing-Related Activities
  • Dynamic Programming
  • Interdisciplinary Science
  • Mathematical Programming
  • Mathematics
  • Stationary

Readers

  • Mathematical Modeling and Probability Theory.