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

Theodore P. Hill, Victor C. Pestien

Research output: Contribution to journalArticle

8 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 languageEnglish (US)
Pages (from-to)61-76
Number of pages16
JournalStochastic Processes and their Applications
Volume24
Issue number1
DOIs
StatePublished - 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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