We prove in a dynamic programming framework that uniform convergence of the finite horizon values implies that asymptotically the average accumulated payoff is constant on optimal trajectories. We analyze and discuss several possible extensions to two-person games.
Asymptotic properties of optimal trajectories in dynamic programming / Sorin, S; Venel, Xavier Mathieu Raymond; Vigeral, G. - In: SANKHYA. SERIES A. - ISSN 0976-836X. - 72:1(2010), pp. 237-245.
Asymptotic properties of optimal trajectories in dynamic programming
Venel X;
2010
Abstract
We prove in a dynamic programming framework that uniform convergence of the finite horizon values implies that asymptotically the average accumulated payoff is constant on optimal trajectories. We analyze and discuss several possible extensions to two-person games.
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