| Article ID: | iaor1999912 |
| Country: | United States |
| Volume: | 18 |
| Issue: | 4 |
| Start Page Number: | 818 |
| End Page Number: | 826 |
| Publication Date: | Oct 1997 |
| Journal: | SIAM Journal on Matrix Analysis and Applications |
| Authors: | LeCadre J.P., Tremois O. |
The dynamic programming technique rests on a very simple idea, the principle of optimality due to Bellman. This principle is instrumental in solving numerous problems of optimal control. However, applicability of the optimality principle requires that the cost functional satisfies the property called ‘matrix dynamic programming property’. A simple definition of this property will be provided and functionals having it will be considered.