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Conditions for the Solvability of the Linear Programming Formulation for Constrained Discounted Markov Decision Processes

hal.structure.identifierInstitut de Mathématiques de Bordeaux [IMB]
hal.structure.identifierQuality control and dynamic reliability [CQFD]
dc.contributor.authorDUFOUR, François
hal.structure.identifierUniversidad Nacional de Educación a Distancia [UNED]
dc.contributor.authorPRIETO-RUMEAU, T.
dc.date.accessioned2024-04-04T03:16:40Z
dc.date.available2024-04-04T03:16:40Z
dc.date.issued2016
dc.identifier.issn0095-4616
dc.identifier.urihttps://oskar-bordeaux.fr/handle/20.500.12278/194236
dc.description.abstractEnWe 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.
dc.language.isoen
dc.publisherSpringer Verlag (Germany)
dc.subject.enConstrained problems
dc.subject.enLinear programming formulation
dc.subject.enMarkov decision processes
dc.title.enConditions for the Solvability of the Linear Programming Formulation for Constrained Discounted Markov Decision Processes
dc.typeArticle de revue
dc.identifier.doi10.1007/s00245-015-9307-3
dc.subject.halMathématiques [math]/Optimisation et contrôle [math.OC]
bordeaux.journalApplied Mathematics and Optimization
bordeaux.page27 - 51
bordeaux.volume74
bordeaux.hal.laboratoriesInstitut de Mathématiques de Bordeaux (IMB) - UMR 5251*
bordeaux.issue1
bordeaux.institutionUniversité de Bordeaux
bordeaux.institutionBordeaux INP
bordeaux.institutionCNRS
bordeaux.peerReviewedoui
hal.identifierhal-01246228
hal.version1
hal.popularnon
hal.audienceInternationale
hal.origin.linkhttps://hal.archives-ouvertes.fr//hal-01246228v1
bordeaux.COinSctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=Applied%20Mathematics%20and%20Optimization&rft.date=2016&rft.volume=74&rft.issue=1&rft.spage=27%20-%2051&rft.epage=27%20-%2051&rft.eissn=0095-4616&rft.issn=0095-4616&rft.au=DUFOUR,%20Fran%C3%A7ois&PRIETO-RUMEAU,%20T.&rft.genre=article


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