An Optimality Condition for Discrete Dynamic Programming with no Discounting

Abstract : The report presents a discussion of undiscounted problems having infinite planning horizons. The study develops an optimality condition for the discrete time, finite stage Markov decision problem with Veinott's criterion of maximizing the Cesaro mean of the vector returns in a finite horizon as the horizon tends to infinity. Veinott's conjecture that there are optimal stationary policies is also verified.