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On compactness of the space of policies in stochastic dynamic programming

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  • Balder, Erik J.

Abstract

For stochastic dynamic programming models with compact, history-dependent action sets, sufficient conditions are given for the existence of a topology such that (i) the space of policies is compact, and (ii) the expected reward functionals are upper semicontinuous. The sufficient conditions (C) used here are weaker than both conditions (W) and (S) of Schäl, and unify these.

Suggested Citation

  • Balder, Erik J., 1989. "On compactness of the space of policies in stochastic dynamic programming," Stochastic Processes and their Applications, Elsevier, vol. 32(1), pages 141-150, June.
    • Handle: RePEc:eee:spapps:v:32:y:1989:i:1:p:141-150
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    Cited by:

    1. Balder, Erik J., 2004. "An equilibrium existence result for games with incomplete information and indeterminate outcomes," Journal of Mathematical Economics, Elsevier, vol. 40(3-4), pages 297-320, June.
    2. Eugene A. Feinberg & Uriel G. Rothblum, 2012. "Splitting Randomized Stationary Policies in Total-Reward Markov Decision Processes," Mathematics of Operations Research, INFORMS, vol. 37(1), pages 129-153, February.
    3. Richard Chen & Eugene Feinberg, 2010. "Compactness of the space of non-randomized policies in countable-state sequential decision processes," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 71(2), pages 307-323, April.
    4. Erik J. Balder, 2001. "On ws-Convergence of Product Measures," Mathematics of Operations Research, INFORMS, vol. 26(3), pages 494-518, August.

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