The Annals of Mathematical Statistics

An Optimality Condition for Discrete Dynamic Programming with no Discounting

E. V. Denardo and B. L. Miller

Full-text: Open access

Abstract

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.

Article information

Source
Ann. Math. Statist., Volume 39, Number 4 (1968), 1220-1227.

Dates
First available in Project Euclid: 27 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aoms/1177698247

Digital Object Identifier
doi:10.1214/aoms/1177698247

Mathematical Reviews number (MathSciNet)
MR232593

Zentralblatt MATH identifier
0167.18402

JSTOR
links.jstor.org

Citation

Denardo, E. V.; Miller, B. L. An Optimality Condition for Discrete Dynamic Programming with no Discounting. Ann. Math. Statist. 39 (1968), no. 4, 1220--1227. doi:10.1214/aoms/1177698247. https://projecteuclid.org/euclid.aoms/1177698247


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