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On the Bellman’s principle of optimality

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  • Gross, Eitan

Abstract

Bellman’s equation is widely used in solving stochastic optimal control problems in a variety of applications including investment planning, scheduling problems and routing problems. Building on Markov decision processes for stationary policies, we present a new proof for Bellman’s equation of optimality. Our proof rests its case on the availability of an explicit model of the environment that embodies transition probabilities and associated costs.

Suggested Citation

  • Gross, Eitan, 2016. "On the Bellman’s principle of optimality," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 462(C), pages 217-221.
    • Handle: RePEc:eee:phsmap:v:462:y:2016:i:c:p:217-221
    DOI: 10.1016/j.physa.2016.06.083
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    References listed on IDEAS

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