Abstract
We consider a stationary dynamic program with general state and action spaces and with an unbounded reward function. Taking a martingale approach to the optimization problem we derive several necessary and sufficient conditions for the validity of Howard's policy improvement method. The conditions hold both in the positive and negative ease. By means of these results we can construct a sequence of stationary policies for which the expected rewards converge to the value function. The construction is a straightforward generalization of the method given by Frid [3].
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