2017/11/28 by Dimitri P. Bertsekas, Bertsekas, Dimitri P.
Mathematics · #FOS: Mathematics #Optimization and Control (math.OC) #math.OC
paper · pdf · doi:10.48550/arxiv.1711.10129
arxiv created 2020/01/14 · arxiv updated 2020/01/15
We consider stochastic shortest path problems with infinite state and control spaces, a nonnegative cost per stage, and a termination state. We extend the notion of a proper policy, a policy that terminates within a finite expected number of steps, from the context of finite state space to the context of infinite state space. We consider the optimal cost function J^*, and the optimal cost function J over just the proper policies. We show that J^* and J are the smallest and largest solutions of Bellman's equation, respectively, within a suitable class of Lyapounov-like functions. If the cost per stage is bounded, these functions are those that are bounded over the effective domain of J. The standard value iteration algorithm may be attracted to either J^* or J, depending on the initial condition.