Uniform value in Dynamic Programming - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2008

Uniform value in Dynamic Programming

Résumé

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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Dates et versions

hal-00265257 , version 1 (18-03-2008)
hal-00265257 , version 2 (20-04-2009)

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Jérôme Renault. Uniform value in Dynamic Programming. 2008. ⟨hal-00265257v2⟩
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