On an extremal property of Markov chains and sufficiency of Markov strategies in Markov decision processes with the Dubins-Savage criterion

On an extremal property of Markov chains and sufficiency of Markov strategies in Markov decision processes with the Dubins-Savage criterion

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Article ID: iaor19911693
Country: Switzerland
Volume: 29
Start Page Number: 417
End Page Number: 426
Publication Date: Apr 1991
Journal: Annals of Operations Research
Authors:
Abstract:

An inequality regarding the minimum of P(liminf(Xn∈Dn)) is proved for a class of random sequences. This result is related to the problem of sufficiency of Markov strategies for Markov decision processes with th Dubins-Savage criterion, the asymptotical behaviour of nonhomogeneous Markov chains, and some other problems.

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