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Invariant problems in discounted dynamic programming

Published online by Cambridge University Press:  01 July 2016

David Assaf
David Assaf*
Affiliation:
Hebrew University, Jerusalem
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Abstract

Discounted dynamic programming problems whose transition mechanism depends only on the action taken and does not depend on the current state are considered. A value determination operation and method of obtaining optimal policies for the case of finite action space (and arbitrary state space) are presented.

The solution of other problems is reduced to this special case by a suitable transformation. Results are illustrated by examples.

Keywords

DYNAMIC PROGRAMMINGDISCOUNTEDINVARIANT PROBLEMOPTIMALITY EQUATIONOPTIMAL RETURN-FUNCTIONOPTIMAL POLICY
Type
Research Article
Information
Advances in Applied Probability , Volume 10 , Issue 2 , June 1978 , pp. 472 - 490
Copyright
Copyright © Applied Probability Trust 1978 

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References

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