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On Optimal Policies of Multichain Finite State Compact Action Markov Decision Processes

  • Arie Leizarowitz
Part of the Advances in Computational Management Science book series (AICM, volume 4)

Abstract

This paper is concerned with finite state multichain MDPs with compact action set. The optimality criterion is the long-run average cost. Simple examples illustrate that optimal stationaryu Markov policies do not always exist. We establish the existence of e-optimal policies which are stationary Markovian, and develop an algorithm which computes these approximate optimal policies. We establish a necessary and sufficient condition for the existence of an optimal policy which is stationary Markovian, and in case that such an optimal policy exists the algorithm computes it.

Keywords

Optimal Policy Markov Decision Process Average Cost Optimality Equation Deterministic Policy 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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© Springer Science+Business Media New York 2002

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  • Arie Leizarowitz

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