Controlled Markov set-chains under average criteria

Controlled Markov set-chains under average criteria

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Article ID: iaor20023411
Country: United States
Volume: 120
Issue: 1/3
Start Page Number: 195
End Page Number: 209
Publication Date: May 2001
Journal: Applied Mathematics and Computation
Authors: , ,
Abstract:

In this paper, applying an interval arithmetic analysis, we consider the average case of controlled Markov set-chains, whose process allows for fluctuating transition matrices at each step in time. We introduce an a-step contractive property for the average case, under which a Pareto optimal periodic policy is characterized as a maximal solution of optimality equation. Also, in the class of stationary policies, the behavior of the expected reward over T-horizon as T approaches infinity is investigated and the left- and right-hand side optimality equations are given, by which a Pareto optimal stationary policy is found. As a numerical example, the Taxicab problem is considered.

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