Constrained Markovian decision processes: the dynamic programming approach
نویسندگان
چکیده
We consider semicontinuous controlled Markov models in discrete time with total expected losses. Only control strategies which meet a set of given constraint inequalities are admissible. One has to build an optimal admissible strategy. The main result consists in the constructive development of optimal strategy with the help of the dynamic programming method. The model studied covers the case of a nite horizon and the case of a homogeneous discounted model with di erent discount factors. c © 2000 Elsevier Science B.V. All rights reserved.
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عنوان ژورنال:
- Oper. Res. Lett.
دوره 27 شماره
صفحات -
تاریخ انتشار 2000