Bellman Function Dynamic Programming Conditional Expectation Measurable Selection Induction
Institute of Mathematics and Informatics Bulgarian Academy of Sciences
Serdica Mathematical Journal, Vol. 21, No 4, (1995), 267p-282p
In this paper we study discrete-time, finite horizon stochastic systems
with multivalued dynamics and obtain a necessary and sufficient condition for
optimality using the dynamic programming method. Then we examine a nonlinear
stochastic discrete-time system with feedback control constraints and for it, we
derive a necessary and sufficient condition for optimality which we then use to
establish the existence of an optimal policy.
* This research was supported by a grant from the Greek Ministry of Industry and Technology.