THE OPTIMAL REWARD OPERATOR IN NEGATIVE DYNAMIC-PROGRAMMING

• 成果类型: Article
• 署名作者: MAITRA, A; SUDDERTH, W
• 刊物名称: MATHEMATICS OF OPERATIONS RESEARCH
• ISSN/ISSBN: 0364-765X
• DOI: 10.1287/moor.17.4.921
• 发表日期: 1992
• 页码: 921-931
• 关键词: gambling problems

摘要

We consider the negative dynamic programming model of Strauch [12] and prove that the optimal reward function can be obtained by a transfinite iteration of the optimal reward operator. We show that a player loses nothing by restricting himself to measurable policies, if the returns from nonmeasurable policies are evaluated by lower integrals.