An Optimality Condition for Discrete Dynamic Programming with no Discounting

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Abstract
In this paper we consider the discrete time finite state Markov decision problem with Veinott's criterion of maximizing the Cesaro mean of the vector of expected returns received in a finite horizon as the horizon tends to infinity. A necessary and sufficient condition for optimality is obtained, and at the same time we verify Veinott's conjecture that there are optimal stationary policies.

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