A new optimality criterion for discrete dynamic programming

AbstractThis paper concerns a discrete-time Markov decision model with an infinite planning horizon. A new optimality criterion and the related optimal policy, termed R-optimal one, are proposed. The criterion is much effective comparing with the existing criteria because of its availability both for discounting case and nondiscounting case in the same form.It is shown that there exists a stationary R-optimal policy and it can be found in finitely many steps by the policy iteration method