Value iteration in countable state average cost Markov decision processes with unbounded costs

Value iteration in countable state average cost Markov decision processes with unbounded costs

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Article ID: iaor19911687
Country: Switzerland
Volume: 28
Start Page Number: 261
End Page Number: 272
Publication Date: Apr 1991
Journal: Annals of Operations Research
Authors:
Abstract:

The paper deals with countable state Markov decision processes with finite action sets and (possibly) unbounded costs. Assuming the existence of an expected average cost optimal stationary policy f, with expected average cost g, when can f and g be found using undiscounted value iteration? The paper gives assumptions guaranteeing the convergence of a quantity related to ng-vn(i), where vn(i) is the minimum expected n-stage cost when the process starts in state i. The theory is applied to a queueing system with variable service rates and to a queueing system with variable arrival parameter.

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