The Existence of Good Markov Strategies for Decision Processes with General PayoffsStochastic Processes and their Applications
AbstractFor countable-state decision processes (dynamic programming problems), a general class of objective functions is identified for which it is shown that good Markov strategies always exist. This class includes product and lim inf rewards, as well as practically all the classical dynamic programming expected payoff functions.
Citation InformationTheodore P. Hill and Victor C. Prestien. "The Existence of Good Markov Strategies for Decision Processes with General Payoffs" Stochastic Processes and their Applications Vol. 24 Iss. 1 (1987) p. 61 - 76
Available at: http://works.bepress.com/tphill/39/