A policy iteration heuristic for constrained discounted controlled Markov chains

DOI10.1007/s11590-011-0338-7zbMath1259.90157OpenAlexW1975802435MaRDI QIDQ694193

Hyeong Soo Chang

Publication date: 11 December 2012

Published in: Optimization Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11590-011-0338-7

zbMATH Keywords

policy iterationconstrained Markov decision processpolicy improvement

Mathematics Subject Classification ID

Markov and semi-Markov decision processes (90C40)

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An exact iterative search algorithm for constrained Markov decision processes

Cites Work

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• Constrained Markov decision processes with total cost criteria: Lagrangian approach and dual linear program
• Encyclopedia of Optimization
• Constrained Discounted Dynamic Programming
• Constrained dynamic programming with two discount factors: applications and an algorithm
• A Policy Improvement Method in Constrained Stochastic Dynamic Programming