On the Bellman’s principle of optimality

Eitan Gross

Physica A: Statistical Mechanics and its Applications, 2016, vol. 462, issue C, 217-221

Abstract: Bellman’s equation is widely used in solving stochastic optimal control problems in a variety of applications including investment planning, scheduling problems and routing problems. Building on Markov decision processes for stationary policies, we present a new proof for Bellman’s equation of optimality. Our proof rests its case on the availability of an explicit model of the environment that embodies transition probabilities and associated costs.

Keywords: Dynamic programming; Markov decision processes; Principle of optimality (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:462:y:2016:i:c:p:217-221

DOI: 10.1016/j.physa.2016.06.083

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