Abstract
As is well known (cf. Derman (1970) and references cited there), dynamic programming problems with finite state and action spaces can be solved by linear programming techniques. In the present paper it will be shown that this statement can be generalized to the case of general state and action spaces. By this approach, the underlying sequential structure is completely neglected. Instead, vectore space structures and linear programming results (such as existence and duality theorems, complementary slackness) are used to obtain optimality statements.
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