Finitely Additive Dynamic Programming

William D. Sudderth
William D. Sudderth
[email protected]
School of Statistics, University of Minnesota, Minneapolis, Minnesota 55455
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School of Statistics, University of Minnesota, Minneapolis, Minnesota 55455

Published Online:15 Jun 2015https://doi.org/10.1287/moor.2015.0717

Abstract

The theory of dynamic programming is formulated using finitely additive probability measures defined on sets of arbitrary cardinality. Many results from the conventional countably additive theory generalize, and the proofs are simpler.

cover image Mathematics of Operations Research

Volume 41, Issue 1

February 2016

Pages 1-376

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Received:December 20, 2013
Published Online:June 15, 2015

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William D. Sudderth (2015) Finitely Additive Dynamic Programming. Mathematics of Operations Research 41(1):92-108.

https://doi.org/10.1287/moor.2015.0717

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Finitely Additive Dynamic Programming

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Volume 41, Issue 1

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