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Uniform value in Dynamic Programming

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Date
2011
Link to item file
http://arxiv.org/abs/0803.2758v2
Dewey
Probabilités et mathématiques appliquées
Sujet
Uniform value; dynamic programming; Markov decision processes; limit value; Blackwell optimality; average payoffs; long-run values; precompact state space; non expansive correspondence
Journal issue
Journal of the European Mathematical Society
Volume
13
Number
2
Publication date
2011
Article pages
309-330
Publisher
European Mathematical Society
DOI
http://dx.doi.org/10.4171/JEMS/254
URI
https://basepub.dauphine.fr/handle/123456789/6787
Collections
  • CEREMADE : Publications
Metadata
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Author
Renault, Jérôme
Type
Article accepté pour publication ou publié
Abstract (EN)
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.

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