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]
< Reduce
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]
Language
en
Article de revue
This item was published in
Applied Mathematics and Optimization. 2016, vol. 74, n° 1, p. 27 - 51
Springer Verlag (Germany)
English Abstract
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 ...Read more >
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.Read less <
English Keywords
Constrained problems
Linear programming formulation
Markov decision processes
Origin
Hal imported