Dynamic Programming Equations for Discounted Constrained Stochastic Control

DOI10.1109/TAC.2004.826725zbMath1365.93540OpenAlexW2099275099MaRDI QIDQ5273747

Richard C. Chen, Gilmer L. Blankenship

Publication date: 12 July 2017

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/tac.2004.826725

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Dynamic programming (90C39) Optimal stochastic control (93E20)

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Convex analytic approach to constrained discounted Markov decision processes with non-constant discount factors ⋮ Random search for constrained Markov decision processes with multi-policy improvement ⋮ An exact iterative search algorithm for constrained Markov decision processes ⋮ Non-randomized policies for constrained Markov decision processes ⋮ Constrained Markov decision processes in Borel spaces: from discounted to average optimality ⋮ Compactness of the space of non-randomized policies in countable-state sequential decision processes ⋮ Constrained discounted Markov decision processes with Borel state spaces ⋮ Neighbourhood search for constructing Pareto sets ⋮ Resource-constrained management of heterogeneous assets with stochastic deterioration

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