Displaying similar documents to “Discounted dynamic programming on Euclidean spaces”

Uniqueness of optimal policies as a generic property of discounted Markov decision processes: Ekeland's variational principle approach

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...

Stationary optimal policies in a class of multichain positive dynamic programs with finite state space and risk-sensitive criterion

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...

Identification of optimal policies in Markov decision processes

Karel Sladký (2010)

Kybernetika

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In this note we focus attention on identifying optimal policies and on elimination suboptimal policies minimizing optimality criteria in discrete-time Markov decision processes with finite state space and compact action set. We present unified approach to value iteration algorithms that enables to generate lower and upper bounds on optimal values, as well as on the current policy. Using the modified value iterations it is possible to eliminate suboptimal actions and to identify an optimal...