A parametric iterative method for the solution of linear dynamic programming problems. I. The nondegenerate case

The paper is concerned with an algorithm for solution of linear dynamic programming problems with discrete time; a modified dual problem is used and convergence over a finite number of steps is insured. The core of the algorithm is a parametric circuit which make it possible to reduce the solution of the initial problem to that of a Riccati equation system and of a simple auxiliary problem.