Title :
Monotone mappings in dynamic programming
Author_Institution :
University of Illinois at Urbana-Champaign, Urbana, Illinois
Abstract :
In this paper we consider a class of monotone mappings underlying many sequential optimization problems over a finite or infinite horizon which are of interest in applications. This class of problems Includes deterministic and stochastic optimal control problems, minimax control problems, Semi-Markov Decision problems and others. We prove some fixed point properties of the optimal value function and we analyze the convergence properties of a related generalized Dynamic Programming algorithm. We also give a sufficient condition for convergence, which is widely applicable and considerably strengthens known related results.
Keywords :
Algorithm design and analysis; Convergence; Dynamic programming; Heuristic algorithms; Optimal control;
Conference_Titel :
Decision and Control including the 14th Symposium on Adaptive Processes, 1975 IEEE Conference on
Conference_Location :
Houston, TX, USA
DOI :
10.1109/CDC.1975.270641