Asymptotic Properties of Optimal Trajectories in Dynamic Programming

Vigeral, Guillaume; Venel, Xavier; Sorin, Sylvain

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

Number

Publisher

Indian Statistical Institute

Pages

237-245

Metadata

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Author(s)

Vigeral, Guillaume
Venel, Xavier

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