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


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.


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E. V. Denardo. B. L. Miller. "An Optimality Condition for Discrete Dynamic Programming with no Discounting." Ann. Math. Statist. 39 (4) 1220 - 1227, August, 1968.


Published: August, 1968
First available in Project Euclid: 27 April 2007

zbMATH: 0167.18402
MathSciNet: MR232593
Digital Object Identifier: 10.1214/aoms/1177698247

Rights: Copyright © 1968 Institute of Mathematical Statistics

Vol.39 • No. 4 • August, 1968
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