An Algorithm for Discrete Dynamic Programming with Interest Rates Near Zero.
CARNEGIE-MELLON UNIV PITTSBURGH PA MANAGEMENT SCIENCES RESEARCH GROUP
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A characterization is given for optimal policies in the undiscounted case of Howards dynamic programming model, and an algorithm is stated for finding these policies in finitely many iterations. The algorithms usually given by most writers for the undiscounted problem at best find a policy which maximizes average return per period. The policies found by the algorithm of Miller and Veinott, and out algorithm, find such policies which have the additional property that they are optimal for the discounted problem for all discounted problem for all discount rates sufficiently close to unity i.e., they are optimal in the sense of Blackwells 1962 paper. Author
- Operations Research