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Note--A Note on Dynamic Programming with Unbounded Rewards

Author

Listed:
  • J. A. E. E. van Nunen

    (Graduate School of Management, Delft)

  • J. Wessels

    (Eindhoven University of Technology)

Abstract

In a recent paper, Lippman presents sufficient conditions for Denardo's N-stage contraction in discounted semi-Markov decision processes with unbounded rewards. In this note it is demonstrated that Lippman's conditions may be replaced by weaker conditions which even imply 1-stage contraction. The verification of the conditions of this note is somewhat easier.

Suggested Citation

  • J. A. E. E. van Nunen & J. Wessels, 1978. "Note--A Note on Dynamic Programming with Unbounded Rewards," Management Science, INFORMS, vol. 24(5), pages 576-580, January.
    • Handle: RePEc:inm:ormnsc:v:24:y:1978:i:5:p:576-580
    DOI: 10.1287/mnsc.24.5.576
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    Cited by:

    1. Evgueni Gordienko & Enrique Lemus-Rodríguez & Raúl Montes-de-Oca, 2008. "Discounted cost optimality problem: stability with respect to weak metrics," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 68(1), pages 77-96, August.
    2. Nadine Hilgert & J. Minjárez-Sosa, 2006. "Adaptive control of stochastic systems with unknown disturbance distribution: discounted criteria," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 63(3), pages 443-460, July.
    3. Hong Chen & Murray Zed Frank, 2022. "Equilibrium Defaultable Corporate Debt and Investment," Papers 2202.05885, arXiv.org.

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