Geodesic
On a~problem of D.~Blackwell from the theory of dynamic programming
Teoriâ veroâtnostej i ee primeneniâ, Tome 15 (1970) no. 4, pp. 740-745

Voir la notice de l'article provenant de la source Math-Net.Ru

In this paper the positive case of a dynamic programming problem is considered. We prove that, for any probability $p$ on the set of states $S$ and $\lambda1$, there exists a stationary policy $\pi^*$ such that $$ p\{I^{\pi^*}\ge\lambda\sup_\pi I^\pi\}=1, $$ where $I^\pi$ is the mean reward. 
@article{TVP_1970_15_4_a13,
     author = {E. B. Frid},
     title = {On a~problem of {D.~Blackwell} from the theory of dynamic programming},
     journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
     pages = {740--745},
     publisher = {mathdoc},
     volume = {15},
     number = {4},
     year = {1970},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/TVP_1970_15_4_a13/}
}
TY  - JOUR
AU  - E. B. Frid
TI  - On a~problem of D.~Blackwell from the theory of dynamic programming
JO  - Teoriâ veroâtnostej i ee primeneniâ
PY  - 1970
SP  - 740
EP  - 745
VL  - 15
IS  - 4
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/item/TVP_1970_15_4_a13/
LA  - ru
ID  - TVP_1970_15_4_a13
ER  - 
%0 Journal Article
%A E. B. Frid
%T On a~problem of D.~Blackwell from the theory of dynamic programming
%J Teoriâ veroâtnostej i ee primeneniâ
%D 1970
%P 740-745
%V 15
%N 4
%I mathdoc
%U http://geodesic.mathdoc.fr/item/TVP_1970_15_4_a13/
%G ru
%F TVP_1970_15_4_a13
E. B. Frid. On a~problem of D.~Blackwell from the theory of dynamic programming. Teoriâ veroâtnostej i ee primeneniâ, Tome 15 (1970) no. 4, pp. 740-745. http://geodesic.mathdoc.fr/item/TVP_1970_15_4_a13/