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Deterministic discrete dynamic programming with discount factor greater than one: Some further results and algorithms

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Summary

The theory of deterministic discrete dynamic programming with discount factorα>1 is further developed. A result is derived that establishes a connection between dynamic programming withα<1 and dynamic programming withα>1. This result, in conjunction with a state classification scheme, yields an efficient algorithm computing an optimal policy. The limiting caseα=1 is also briefly discussed.

Zusammenfassung

Die Theorie der deterministischen, diskreten dynamischen Programmierung mit Diskontierungsfaktorα>1 wird weiterentwickelt. Ein Resultat über die Verbindung zwischen dynamischer Programmierung mitα>1 und dynamischer Programmierung mitα<1 wird hergestellt. Zusammen mit einem Klassifizierungschema des Zustandraumes ergibt sich dann ein wirkungsvolles Optimierungsverfahren. Der Grenzfallα=1 wird kurz behandelt.

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Authors and Affiliations

  1. International Institute of Management, Griegstraße 5, D-1000, Berlin 33

    Y. M. I. Dirickx

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  1. Y. M. I. Dirickx
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Dirickx, Y.M.I. Deterministic discrete dynamic programming with discount factor greater than one: Some further results and algorithms. Zeitschrift für Operations Research 18, 69–76 (1974). https://doi.org/10.1007/BF01949716

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  • DOI: https://doi.org/10.1007/BF01949716

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