Approximation of Markov Decision Processes with General State Space
hal.structure.identifier | Institut de Mathématiques de Bordeaux [IMB] | |
hal.structure.identifier | Quality control and dynamic reliability [CQFD] | |
dc.contributor.author | DUFOUR, François | |
hal.structure.identifier | Department of Statistics and Operations Research [Madrid] | |
dc.contributor.author | PRIETO-RUMEAU, Tomas | |
dc.date.accessioned | 2024-04-04T02:26:05Z | |
dc.date.available | 2024-04-04T02:26:05Z | |
dc.date.issued | 2012 | |
dc.identifier.issn | 0022-247X | |
dc.identifier.uri | https://oskar-bordeaux.fr/handle/20.500.12278/189928 | |
dc.description.abstractEn | We deal with a discrete-time finite horizon Markov decision process with locally compact Borel state and action spaces, and possibly unbounded cost function. Based on Lipschitz continuity of the elements of the control model, we propose a state and action discretization procedure for approximating the optimal value function and an optimal policy of the original control model. We provide explicit bounds on the approximation errors. Our results are illustrated by a numerical application to a fisheries management problem. | |
dc.language.iso | en | |
dc.publisher | Elsevier | |
dc.title.en | Approximation of Markov Decision Processes with General State Space | |
dc.type | Article de revue | |
dc.identifier.doi | 10.1016/j.jmaa.2011.11.015 | |
dc.subject.hal | Mathématiques [math]/Optimisation et contrôle [math.OC] | |
bordeaux.journal | Journal of Mathematical Analysis and Applications | |
bordeaux.page | 1254-1267 | |
bordeaux.volume | 388 | |
bordeaux.hal.laboratories | Institut de Mathématiques de Bordeaux (IMB) - UMR 5251 | * |
bordeaux.issue | 2 | |
bordeaux.institution | Université de Bordeaux | |
bordeaux.institution | Bordeaux INP | |
bordeaux.institution | CNRS | |
bordeaux.peerReviewed | oui | |
hal.identifier | hal-00648223 | |
hal.version | 1 | |
hal.popular | non | |
hal.audience | Internationale | |
hal.origin.link | https://hal.archives-ouvertes.fr//hal-00648223v1 | |
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