On a weakly Blackwell space we show how to define a Markov chain approximating problem, for the target problem. The approximating problem is proved to converge to the optimal reduced problem under different pseudometrics. A computational example of compression of information is discussed.
@article{arxiv.0901.1871,
title = {Approximation of target problems in Blackwell spaces},
author = {Giacomo Aletti and Diane Saada},
journal= {arXiv preprint arXiv:0901.1871},
year = {2009}
}