Uniform value in dynamic programming

Renault, Jérôme. "Uniform value in dynamic programming." Journal of the European Mathematical Society 013.2 (2011): 309-330. <http://eudml.org/doc/277283>.

@article{Renault2011,
abstract = {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.},
author = {Renault, Jérôme},
journal = {Journal of the European Mathematical Society},
keywords = {uniform value; dynamic programming; Markov decision processes; limit value; Blackwell optimality; average payoffs; long-run values; precompact state space; non expansive correspondence},
language = {eng},
number = {2},
pages = {309-330},
publisher = {European Mathematical Society Publishing House},
title = {Uniform value in dynamic programming},
url = {http://eudml.org/doc/277283},
volume = {013},
year = {2011},
}

TY - JOUR
AU - Renault, Jérôme
TI - Uniform value in dynamic programming
JO - Journal of the European Mathematical Society
PY - 2011
PB - European Mathematical Society Publishing House
VL - 013
IS - 2
SP - 309
EP - 330
AB - 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.
LA - eng
KW - uniform value; dynamic programming; Markov decision processes; limit value; Blackwell optimality; average payoffs; long-run values; precompact state space; non expansive correspondence
UR - http://eudml.org/doc/277283
ER -