On Bellman's principle with inequality constraints

DOI10.1016/j.orl.2011.11.004zbMath1242.90282arXiv1111.3271OpenAlexW2963250153MaRDI QIDQ435749

Jason Adaska, Edwin K. P. Chong, Scott A. Miller

Publication date: 12 July 2012

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1111.3271

zbMATH Keywords

Markov decision processesconstrained optimizationtime consistencyBellman

Mathematics Subject Classification ID

Markov and semi-Markov decision processes (90C40)

Cites Work

• Unnamed Item
• On a time consistency concept in risk averse multistage stochastic programming
• Risk aversion and the elasticity of substitution in general dynamic portfolio theory: consistent planning by forward looking, expected utility maximizing investors
• Approximate receding horizon approach for Markov decision processes: average reward case
• Constrained Markovian decision processes: The dynamic programming approach
• Non-randomized policies for constrained Markov decision processes
• On constrained Markov decision processes
• Multichain Markov Decision Processes with a Sample Path Constraint: A Decomposition Approach
• Constrained Discounted Markov Decision Chains
• Consistent Plans
• Constrained Discounted Dynamic Programming
• Markov Decision Processes with Sample Path Constraints: The Communicating Case
• A Policy Improvement Method in Constrained Stochastic Dynamic Programming
• Contraction Mappings in the Theory Underlying Dynamic Programming
• On the Existence of a Consistent Course of Action when Tastes are Changing
• Controlled Markov chains with constraints.