On Bellman’s principle with inequality constraints

On Bellman’s principle with inequality constraints

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Article ID: iaor20121913
Volume: 40
Issue: 2
Start Page Number: 108
End Page Number: 113
Publication Date: Mar 2012
Journal: Operations Research Letters
Authors: , ,
Keywords: programming: markov decision, programming: dynamic, optimization
Abstract:

We consider an example by Haviv (1996) of a constrained Markov decision process that, in some sense, violates Bellman’s principle. We resolve this issue by showing how to preserve a form of Bellman’s principle that accounts for a change of constraint at states that are reachable from the initial state.

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