The existence of good Markov strategies for decision processes with general payoffs

Theodore P. Hill; Victor C. Pestien

doi:10.1016/0304-4149(87)90028-7

The existence of good Markov strategies for decision processes with general payoffs

Theodore P. Hill, Victor C. Pestien

Mathematics

Research output: Contribution to journal › Article › peer-review

10 Scopus citations

Abstract

For countable-state decision processes (dynamic programming problems), a general class of objective functions is identified for which it is shown that good Markov strategies always exist. This class includes product and lim inf rewards, as well as practically all the classical dynamic programming expected payoff functions.

Original language	English (US)
Pages (from-to)	61-76
Number of pages	16
Journal	Stochastic Processes and their Applications
Volume	24
Issue number	1
DOIs	https://doi.org/10.1016/0304-4149(87)90028-7
State	Published - Feb 1987

Keywords

Markov decision process
Markov strategy
dynamic programming

ASJC Scopus subject areas

Statistics and Probability
Modeling and Simulation
Applied Mathematics

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10.1016/0304-4149(87)90028-7

Cite this

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title = "The existence of good Markov strategies for decision processes with general payoffs",

abstract = "For countable-state decision processes (dynamic programming problems), a general class of objective functions is identified for which it is shown that good Markov strategies always exist. This class includes product and lim inf rewards, as well as practically all the classical dynamic programming expected payoff functions.",

keywords = "Markov decision process, Markov strategy, dynamic programming",

author = "Hill, {Theodore P.} and Pestien, {Victor C.}",

note = "Funding Information: by a NATO po%tdoctoral grant. and NSF Grant DMS-84-01604.",

year = "1987",

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AU - Hill, Theodore P.

AU - Pestien, Victor C.

N1 - Funding Information: by a NATO po%tdoctoral grant. and NSF Grant DMS-84-01604.

PY - 1987/2

Y1 - 1987/2

N2 - For countable-state decision processes (dynamic programming problems), a general class of objective functions is identified for which it is shown that good Markov strategies always exist. This class includes product and lim inf rewards, as well as practically all the classical dynamic programming expected payoff functions.

AB - For countable-state decision processes (dynamic programming problems), a general class of objective functions is identified for which it is shown that good Markov strategies always exist. This class includes product and lim inf rewards, as well as practically all the classical dynamic programming expected payoff functions.

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KW - Markov strategy

KW - dynamic programming

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The existence of good Markov strategies for decision processes with general payoffs

Abstract

Keywords

ASJC Scopus subject areas

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