Abstract
We consider killed Markov decision processes with uncountable sets of states and controls on finite time interval. We provide definitions of killed Markov decision process, assessment of the path, and optimal strategy and prove the fundamental equation for the case where set of states and set of controls are measurable spaces. We propose a method to construct the optimal strategy and prove the existence of uniformly optimal strategy in the case where set of states and set of controls are separable metric spaces.
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Translated from Kibernetika i Sistemnyi Analiz, No. 4, July–August, 2016, pp. 155–160.
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Shpak, P.R., Yeleyko, Y.I. Assessment and Optimal Strategies of Semi-Continuous Killed Markov Decision Processes. Cybern Syst Anal 52, 631–635 (2016). https://doi.org/10.1007/s10559-016-9865-7
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DOI: https://doi.org/10.1007/s10559-016-9865-7