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.