Abstract
In some recent publications it was shown that certain stationary stochastic dynamic programming problems with general state and action spaces can be solved by generalized linear programming. It Is the main aim of the present paper to demonstrate that a similar linear programming approach is feasible even in the non-stationary case. For this end, we formulate a programming problem (D∗) and show that (D∗) is equivalent to the problem of finding a p=optimal policy for the stochastic dynamic program, whereas a modification of (D∗) turns out to be the dual program of a pair of general linear programs.
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