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Asymptotic Properties of Optimal Trajectories in Dynamic Programming

Abstract : We prove in a dynamic programming framework that uniform convergence of the finite horizon values implies that asymptotically the average accumulated payoff is constant on optimal trajectories. We analyze and discuss several possible extensions to two-person games.
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Submitted on : Wednesday, December 22, 2010 - 4:00:34 PM
Last modification on : Friday, January 21, 2022 - 3:34:52 AM
Long-term archiving on: : Wednesday, March 23, 2011 - 3:01:14 AM

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  • HAL Id : hal-00549788, version 1
  • ARXIV : 1012.5149

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Sylvain Sorin, Xavier Venel, Guillaume Vigeral. Asymptotic Properties of Optimal Trajectories in Dynamic Programming. Sankhya: The Indian Journal of Statistics, Indian Statistical Institute, 2010, 72-A, pp.237-245. ⟨hal-00549788⟩

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