Optimal policies for constrained average‐cost Markov decision processes

Optimal policies for constrained average‐cost Markov decision processes

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Article ID: iaor20118059
Volume: 19
Issue: 1
Start Page Number: 107
End Page Number: 120
Publication Date: Jul 2011
Journal: TOP
Authors: ,
Abstract:

We give mild conditions for the existence of optimal solutions for a Markov decision problem with average cost, under m constraints of the same kind, in Borel actions and states spaces. Moreover, there is an optimal policy that is a convex combination of at most m+1 deterministic policies.

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