International Journal of Mathematics and Mathematical Sciences
Volume 2005 (2005), Issue 1, Pages 57-80

Optimality criteria for deterministic discrete-time infinite horizon optimization

Irwin E. Schochetman1 and Robert L. Smith2

1Department of Mathematics and Statistics, Oakland University, Rochester 48309, MI, USA
2Department of Industrial and Operations Engineering, The University of Michigan, Ann Arbor 48109, MI, USA

Received 12 March 2004

Copyright © 2005 Irwin E. Schochetman and Robert L. Smith. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.


We consider the problem of selecting an optimality criterion, when total costs diverge, in deterministic infinite horizon optimization over discrete time. Our formulation allows for both discrete and continuous state and action spaces, as well as time-varying, that is, nonstationary, data. The task is to choose a criterion that is neither too overselective, so that no policy is optimal, nor too underselective, so that most policies are optimal. We contrast and compare the following optimality criteria: strong, overtaking, weakly overtaking, efficient, and average. However, our focus is on the optimality criterion of efficiency. (A solution is efficient if it is optimal to each of the states through which it passes.) Under mild regularity conditions, we show that efficient solutions always exist and thus are not overselective. As to underselectivity, we provide weak state reachability conditions which assure that every efficient solution is also average optimal, thus providing a sufficient condition for average optima to exist. Our main result concerns the case where the discounted per-period costs converge to zero, while the discounted total costs diverge to infinity. Under the assumption that we can reach from any feasible state any feasible sequence of states in bounded time, we show that every efficient solution is also overtaking, thus providing a sufficient condition for overtaking optima to exist.