We prove the existence of Blackwell ε-optimal strategies in finite Markov Decision Processes with partial observation. ∗Laboratoire d’Analyse Geometrie et Applications Institut Galilée, Université Paris Nord, avenue Jean Baptiste Clément, 93430 Villetaneuse, France. e-mail: [email protected] †Department of Managerial Economics and Decision Sciences, Kellogg School of Management, Northw...
