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Computing semi-stationary optimal policies for multichain semi-Markov decision processes

  • Prasenjit Mondal
Game theory and optimization

Abstract

We consider semi-Markov decision processes with finite state and action spaces and a general multichain structure. A form of limiting ratio average (undiscounted) reward is the criterion for comparing different policies. The main result is that the value vector and a pure optimal semi-stationary policy (i.e., a policy which depends only on the initial state and the current state) for such an SMDP can be computed directly from an optimal solution of a finite set (whose cardinality equals the number of states) of linear programming (LP) problems. To be more precise, we prove that the single LP associated with a fixed initial state provides the value and an optimal pure stationary policy of the corresponding SMDP. The relation between the set of feasible solutions of each LP and the set of stationary policies is also analyzed. Examples are worked out to describe the algorithm.

Keywords

Semi-Markov decision processes Limiting ratio average reward Multichain structure Pure optimal semi-stationary policies Linear programming 

Mathematics Subject Classification

60K15 60K20 

Notes

Acknowledgements

I am grateful to Prof. T. Parthasarathy of CMI & ISI Chennai. Some ideas presented in this paper results from a fruitful discussion with him during the International Conference & Workshop on “Game Theory and Optimization”, June 6-10, 2016 at IIT Madras. This paper is dedicated to celebrate the 75th birthday of Prof. T. Parthasarathy, who has made significant contributions to the theory of games and linear complementarity problems. I am also thankful to Prof. S. Sinha of Jadavpur University, Kolkata for many valuable suggestions. I would like to thank the two anonymous Referees for their valuable and detailed comments that has helped structure this paper better.

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Copyright information

© Springer Science+Business Media, LLC 2017

Authors and Affiliations

  1. 1.Mathematics DepartmentGovernment General Degree CollegeBankuraIndia

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