Averaging vs. discounting in dynamic programming: a counterexample

DOI10.1214/aos/1176342678zbMath0276.49019OpenAlexW2064154559WikidataQ124864459 ScholiaQ124864459MaRDI QIDQ1393717

James Flynn

Publication date: 1974

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176342678

Mathematics Subject Classification ID

Sequential statistical methods (62L99) Discrete-time control/observation systems (93C55) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Markov and semi-Markov decision processes (90C40) Hamilton-Jacobi theories (49L99)

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Optimal replacement policies for a multicomponent reliability system ⋮ On optimality criteria for dynamic programs with long finite horizons ⋮ Invariant problems in dynamic programming - average reward criterion ⋮ What do discounted optima converge to!: A theory of discount rate asymptotics in economic models ⋮ An optimality principle for Markovian decision processes ⋮ Bounded variation of \(\{V_ n\}\) and its limit ⋮ Controlled semi-Markov models under long-run average rewards ⋮ Some comments on a theorem of Hardy and Littlewood

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