| Article ID: | iaor20121913 |
| Volume: | 40 |
| Issue: | 2 |
| Start Page Number: | 108 |
| End Page Number: | 113 |
| Publication Date: | Mar 2012 |
| Journal: | Operations Research Letters |
| Authors: | Chong Edwin K P, Miller Scott A, Adaska Jason |
| Keywords: | programming: markov decision, programming: dynamic, optimization |
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.