Control of a Markov process in a problem with constraints
type: Item
instance of: scholarly article
title: Control of a Markov process in a problem with constraints
zbMATH Open document ID: 0711.90085
DOI: 10.1007/BF01056279
author: D. I. Kudryavtsev
published in: Ukrainian Mathematical Journal
publication date: 1989-01-01T00:00:00Z
review text: Given is a discrete-time Markov decision process with finite state and action space and \(\beta\)-discounted total reward F. Let \(\pi\) be a (randomized) strategy. In contrast to the usual approach it is searched for \(v=\sup_{\pi}E^{\pi}F\) under the constraints \(E^{\pi}F_ i\leq K_ i\), \(i=1,...,m\), for some functions \(F_ i\) and real constants \(K_ i\). Then there exists an optimal strategy which is a mixture of at most \(m+1\) stationary strategies.
Mathematics Subject Classification ID: 90C40
zbMATH DE Number: 4170672
zbMATH Keywords: discrete-time Markov decision process
zbMATH Keywords: finite state and action space
zbMATH Keywords: \(\beta \) -discounted total reward
zbMATH Keywords: optimal strategy
MaRDI profile type: Publication
cites work: Q5509984
cites work: Q3663911
description: scientific article; zbMATH DE number 4170672