Discounted Dynamic Programming with Weighted Norms

  • Onésimo Hernández-Lerma
  • Jean Bernard Lasserre
Part of the Applications of Mathematics book series (SMAP, volume 42)


In this chapter we consider the infinite-horizon discounted cost problem for a Markov control model \( (X,A,\{ A(x)\left| x \right. \in X\} ,Q,c). \) We already studied this problem using dynamic programming and linear programming in Chapters 4 and 6, respectively. Here we use again dynamic programming, so it is important to state at the outset the differences between this chapter and Chapter 4.


Forecast Horizon Optimality Equation Stochastic Kernel Deterministic Stationary Policy Optimal Decision Function 
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Copyright information

© Springer Science+Business Media New York 1999

Authors and Affiliations

  • Onésimo Hernández-Lerma
    • 1
  • Jean Bernard Lasserre
    • 2
  1. 1.Departamento de MatemáticasCINVESTAV-IPNMexico DFMexico
  2. 2.LAAS-CNRSToulouse CedexFrance

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