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Identities relating forward and backward treatments of optimisation

Published online by Cambridge University Press:  14 July 2016

P. Whittle
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Abstract

A general form of Green's theorem is used to derive relations between expected costs for an optimisation problem and the distribution of state variable. A characterisation of the optimal stopping set and an alternative proof of the Howard improvement lemma emerge as non-trivial consequences.

Keywords

MARKOV DECISION PROCESSESDUALITYGREEN'S THEOREM
Type
Part 6 — Stochastic Processes
Information
Journal of Applied Probability , Volume 19 , Issue A , 1982 , pp. 395 - 399
Copyright
Copyright © 1982 Applied Probability Trust 

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References

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Whittle, P. (1982) Optimisation Over Time. Wiley Interscience, New York.Google Scholar