Conditions for the Solvability of the Linear Programming Formulation for Constrained Discounted Markov Decision Processes
DUFOUR, François
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]
DUFOUR, François
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]
< Leer menos
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]
Idioma
en
Article de revue
Este ítem está publicado en
Applied Mathematics and Optimization. 2016, vol. 74, n° 1, p. 27 - 51
Springer Verlag (Germany)
Resumen en inglés
We consider a discrete-time constrained discounted Markov decision process (MDP) with Borel state and action spaces, compact action sets, and lower semi-continuous cost functions. We introduce a set of hypotheses related ...Leer más >
We consider a discrete-time constrained discounted Markov decision process (MDP) with Borel state and action spaces, compact action sets, and lower semi-continuous cost functions. We introduce a set of hypotheses related to a positive weight function which allow us to consider cost functions that might not be bounded below by a constant, and which imply the solvability of the linear programming formulation of the constrained MDP. In particular, we establish the existence of a constrained optimal stationary policy. Our results are illustrated with an application to a fishery management problem.< Leer menos
Palabras clave en inglés
Constrained problems
Linear programming formulation
Markov decision processes
Orígen
Importado de HalCentros de investigación