Stochastic approximations of constrained discounted Markov decision processes

DOI10.1016/j.jmaa.2013.12.016zbMath1308.90195OpenAlexW1992306408MaRDI QIDQ2338706

Tomás Prieto-Rumeau, François Dufour

Publication date: 27 March 2015

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2013.12.016

zbMATH Keywords

constrained Markov decision processesapproximation of Markov decision processeslinear programming approach to control problems

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Markov and semi-Markov decision processes (90C40)

Related Items (6)

Computable approximations for continuous-time Markov decision processes on Borel spaces based on empirical measures ⋮ From Infinite to Finite Programs: Explicit Error Bounds with Applications to Approximate Dynamic Programming ⋮ Approximation of discounted minimax Markov control problems and zero-sum Markov games using Hausdorff and Wasserstein distances ⋮ Dual-based methods for solving infinite-horizon nonstationary deterministic dynamic programs ⋮ Computable approximations for average Markov decision processes in continuous time ⋮ A perturbation approach to approximate value iteration for average cost Markov decision processes with Borel spaces and bounded costs

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Simple bounds for the convergence of empirical and occupation measures in 1-Wasserstein distance
• Approximation of Markov decision processes with general state space
• Lipschitz continuity of value functions in Markovian decision processes
• Simulation-based algorithms for Markov decision processes.
• Stochastic optimal control. The discrete time case
• Adaptive Markov control processes
• Finite Linear Programming Approximations of Constrained Discounted Markov Decision Processes
• Convergence of Dynamic Programming Models
• Approximations of Dynamic Programs, I
• Using Randomization to Break the Curse of Dimensionality
• Discrete-Time Controlled Markov Processes with Average Cost Criterion: A Survey
• Constrained traffic equilibrium in routing
• Optimal Power Allocation for a Time-Varying Wireless Channel Under Heavy-Traffic Approximation
• Approximate Dynamic Programming
• Stochastic finance. An introduction in discrete time

This page was built for publication: Stochastic approximations of constrained discounted Markov decision processes