VECTOR-VALUED DYNAMIC PROGRAMMING.

Mordechai I. Henig

doi:10.1137/0321030

VECTOR-VALUED DYNAMIC PROGRAMMING.

Mordechai I. Henig^*

^*Corresponding author for this work

Coller School of Management

Research output: Contribution to journal › Article › peer-review

Abstract

Dynamic programming models with vector-valued returns are investigated. The sets of (Pareto) maximal returns and (Pareto) maximal policies are defined. Monotonicity conditions are shown to be sufficient for the set of maximal policies to include a stationary policy, and for the set of maximal returns to be in the convex hull of returns of stationary policies. In particular, it is shown that these results hold for Markov decision processes.

Original language	English
Pages (from-to)	490-499
Number of pages	10
Journal	SIAM Journal on Control and Optimization
Volume	21
Issue number	3
DOIs	https://doi.org/10.1137/0321030
State	Published - 1983

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title = "VECTOR-VALUED DYNAMIC PROGRAMMING.",

abstract = "Dynamic programming models with vector-valued returns are investigated. The sets of (Pareto) maximal returns and (Pareto) maximal policies are defined. Monotonicity conditions are shown to be sufficient for the set of maximal policies to include a stationary policy, and for the set of maximal returns to be in the convex hull of returns of stationary policies. In particular, it is shown that these results hold for Markov decision processes.",

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VECTOR-VALUED DYNAMIC PROGRAMMING.

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