The bellman equation for vector-valued semi-markovian dyanmic programiing

Abstract

In this note a semi-Markovian dynamic programming model with vector-valued rewards will be considered. For the sets of maximal n-step–rewards with respect to a convex cone recurrence set relations are proved. It is shown that this set relations are a generalization of the well-known Bellman equation for the real-valued case.

Keywords:

• Semi-Markovian processes
• vector optimization

Additional information

Notes on contributors

V. Nollau