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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

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.

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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. https://doi.org/10.1214/aoms/1177698247

Information

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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