Existence of optimal strategies in Markov chains with unknown parameter sequence

Existence of optimal strategies in Markov chains with unknown parameter sequence

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Article ID: iaor1988217
Country: Germany
Volume: 19
Start Page Number: 577
End Page Number: 585
Publication Date: Oct 1988
Journal: Optimization
Authors:
Abstract:

Finite state controlled Markov chains with transition probabilities depending on a parameter are considered. The parameter values converge to a limit. Conditions are established for the existence of a policy which is average optimal uniformly in the parameter.

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