Abstract
For countable-state decision processes (dynamic programming problems), a general class of objective functions is identified for which it is shown that good Markov strategies always exist. This class includes product and lim inf rewards, as well as practically all the classical dynamic programming expected payoff functions.
Original language | English (US) |
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Pages (from-to) | 61-76 |
Number of pages | 16 |
Journal | Stochastic Processes and their Applications |
Volume | 24 |
Issue number | 1 |
DOIs | |
State | Published - Feb 1987 |
Keywords
- Markov decision process
- Markov strategy
- dynamic programming
ASJC Scopus subject areas
- Statistics and Probability
- Modeling and Simulation
- Applied Mathematics