Markov decision processes with time-varying discount factors and random horizon
This paper is related to Markov Decision Processes. The optimal control problem is to minimize the expected total discounted cost, with a non-constant discount factor. The discount factor is time-varying and it could depend on the state and the action. Furthermore, it is considered that the horizon of the optimization problem is given by a discrete random variable, that is, a random horizon is assumed. Under general conditions on Markov control model, using the dynamic programming approach, an optimality...