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Asymptotic Properties of Optimal Trajectories in Dynamic Programming

Vigeral, Guillaume; Venel, Xavier; Sorin, Sylvain (2010), Asymptotic Properties of Optimal Trajectories in Dynamic Programming, Sankhya, 72, 1, p. 237-245

Type
Article accepté pour publication ou publié
External document link
http://hal.archives-ouvertes.fr/hal-00549788/fr/
Date
2010
Journal name
Sankhya
Volume
72
Number
1
Publisher
Indian Statistical Institute
Pages
237-245
Metadata
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Author(s)
Vigeral, Guillaume
Venel, Xavier cc
Sorin, Sylvain
Abstract (EN)
We prove in a dynamic programming framework that uniform convergence of the finite horizon values implies that asymptotically the average accumulated payoff is constant on optimal trajectories. We analyze and discuss several possible extensions to two-person games.
Subjects / Keywords
games; Dynamic programming; asymptotic value

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