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

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 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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Hill, T. P., & Pestien, V. C. (1987). The existence of good Markov strategies for decision processes with general payoffs. Stochastic Processes and their Applications, 24(1), 61-76. https://doi.org/10.1016/0304-4149(87)90028-7

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