Uniform value in Dynamic Programming

Details Uniform value in Dynamic Programming Uniform value in Dynamic Programming

2008-03-19

arxiv.org/abs/0803.2758v2

Mathematics

Optimization and Control

Scientific paper

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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