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A simple proof of Whittle's bridging condition in dynamic programming

Published online by Cambridge University Press:  14 July 2016

Roger Hartley
Roger Hartley*
Affiliation:
University of Manchester
*
∗Postal address: Department of Decision Theory, University of Manchester, Manchester M13 9PL, U.K.
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Abstract

We offer a short proof that the bridging condition introduced by Whittle is sufficient for regularity in negative dynamic programming. We exploit concavity of the optimal value operator and do not need a special treatment of the case when optimal policies do not exist.

Keywords

MARKOV DECISION PROCESSESDYNAMIC PROGRAMMING
Type
Short Communications
Information
Journal of Applied Probability , Volume 17 , Issue 4 , December 1980 , pp. 1114 - 1116
Copyright
Copyright © Applied Probability Trust 

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References

[1] Hinderer, K. (1970) Foundations of Non-Stationary Dynamic Programming with Discrete Time Parameter. Springer-Verlag, Berlin.CrossRefGoogle Scholar
[2] Whittle, P. (1979) A simple condition for regularity in negative programming. J Appl. Prob. 16, 305–318.CrossRefGoogle Scholar