Date
2011
Lien vers un document non conservé dans cette base
http://arxiv.org/abs/0803.2758v2
Indexation documentaire
Probabilités et mathématiques appliquées
Subject
Uniform value; dynamic programming; Markov decision processes; limit value; Blackwell optimality; average payoffs; long-run values; precompact state space; non expansive correspondence
Nom de la revue
Journal of the European Mathematical Society
Volume
13
Numéro
2
Date de publication
2011
Pages article
309-330
Nom de l'éditeur
European Mathematical Society
Type
Article accepté pour publication ou publié
Résumé en anglais
We consider dynamic programming problems with a large time horizon, and give sufficient conditions for the existence of the uniform value. As a consequence, we obtain an existence result when the state space is precompact, payoffs are uniformly continuous and the transition correspondence is non expansive. In the same spirit, we give an existence result for the limit value. We also apply our results to Markov decision processes and obtain a few generalizations of existing results.
