Optimal Average Value Convergence in Nonhomogeneous Markov Decision Processes
نویسندگان
چکیده
منابع مشابه
Average Optimality in Nonhomogeneous Infinite Horizon Markov Decision Processes
We consider a nonhomogeneous stochastic infinite horizon optimization problem whose objective is to minimize the overall average cost per-period of an infinite sequence of actions (average optimality). Optimal solutions to such problems will in general be non-stationary. Moreover, a solution which initially makes poor decisions, and then selects wisely thereafter, can be average optimal. Howeve...
متن کاملGeometric convergence in average reward Markov decision processes
• A submitted manuscript is the author's version of the article upon submission and before peer-review. There can be important differences between the submitted version and the official published version of record. People interested in the research are advised to contact the author for the final version of the publication, or visit the DOI to the publisher's website. • The final author version ...
متن کاملDenumerable State Nonhomogeneous Markov Decision Processes
We consider denumerable state nonhomogeneous Markov decision processes and extend results from both denumerable state homogeneous and finite state nonhomogeneous problems. We show that, under weak ergodicity, accumulation points of finite horizon optima (termed algorithmic optima) are average cost optimal. We also establish the existence of solution horizons. Finally, an algorithm is presented ...
متن کاملMarkov Decision Processes with Average-Value-at-Risk criteria
P We investigate the problem of minimizing the Average-Value-at-Risk (AV aRτ ) of the discounted cost over a finite and an infinite horizon which is generated by a Markov Decision Process (MDP). We show that this problem can be reduced to an ordinary MDP with extended state space and give conditions under which an optimal policy exists. We also give a time-consistent interpretation of the AV aR...
متن کاملAverage-Reward Decentralized Markov Decision Processes
Formal analysis of decentralized decision making has become a thriving research area in recent years, producing a number of multi-agent extensions of Markov decision processes. While much of the work has focused on optimizing discounted cumulative reward, optimizing average reward is sometimes a more suitable criterion. We formalize a class of such problems and analyze its characteristics, show...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Mathematical Analysis and Applications
سال: 1993
ISSN: 0022-247X
DOI: 10.1006/jmaa.1993.1367