Discounted dynamic programming on Euclidean spaces
A. Nowak (1979)
Applicationes Mathematicae
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A. Nowak (1979)
Applicationes Mathematicae
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Rolando Cavazos-Cadena, Raul Montes-de-Oca (2001)
Applicationes Mathematicae
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This work concerns Markov decision processes with finite state space and compact action sets. The decision maker is supposed to have a constant-risk sensitivity coefficient, and a control policy is graded via the risk-sensitive expected total-reward criterion associated with nonnegative one-step rewards. Assuming that the optimal value function is finite, under mild continuity and compactness restrictions the following result is established: If the number of ergodic classes when a stationary...
Zhu, Quanxin, Guo, Xianping (2006)
Journal of Applied Mathematics and Stochastic Analysis
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R. Israel Ortega-Gutiérrez, Raúl Montes-de-Oca, Enrique Lemus-Rodríguez (2016)
Kybernetika
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Many examples in optimization, ranging from Linear Programming to Markov Decision Processes (MDPs), present more than one optimal solution. The study of this non-uniqueness is of great mathematical interest. In this paper the authors show that in a specific family of discounted MDPs, non-uniqueness is a “fragile” property through Ekeland's Principle for each problem with at least two optimal policies; a perturbed model is produced with a unique optimal policy. This result not only supersedes...
Petr Fiala (2011)
Acta Universitatis Palackianae Olomucensis. Facultas Rerum Naturalium. Mathematica
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Mathematical programming under multiple objectives has emerged as a powerful tool to assist in the process of searching for decisions which best satisfy a multitude of conflicting objectives. In multiobjective linear programming problems it is usually impossible to optimize all objectives in a given system. Trade-offs are properties of inadequately designed system a thus can be eliminated through designing better one. Multiobjective De Novo linear programming is problem for designing...
Jussi Hakanen, Yoshiaki Kawajiri, Kaisa Miettinen, Lorenz Biegler (2007)
Control and Cybernetics
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H. Girlich (1980)
Banach Center Publications
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