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On maximizing the average time at a goal

Author

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  • Demko, S.
  • Hill, T. P.

Abstract

In a decision process (gambling or dynamic programming problem) with finite state space and arbitrary decision sets (gambles or actions), there is always available a Markov strategy which uniformly (nearly) maximizes the average time spent at a goal. If the decision sets are closed, there is even a stationary strategy with the same property. Examples are given to show that approximations by discounted or finite horizon payoffs are not useful for the general average reward problem.

Suggested Citation

  • Demko, S. & Hill, T. P., 1984. "On maximizing the average time at a goal," Stochastic Processes and their Applications, Elsevier, vol. 17(2), pages 349-357, July.
    • Handle: RePEc:eee:spapps:v:17:y:1984:i:2:p:349-357
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