Markov Decision Processes with a Borel Measurable Cost Function—The Average Case
- 1 May 1986
- journal article
- Published by Institute for Operations Research and the Management Sciences (INFORMS) in Mathematics of Operations Research
- Vol. 11 (2) , 309-320
- https://doi.org/10.1287/moor.11.2.309
Abstract
We consider a Markov decision process with a Borel measurable cost function. We introduce a p-step contraction property for the average cost case. By use of this method, the validity of the optimality equation and the existence of ϵ-optimal stationary policies are proved. As some applications, the sequential replacement model and the inventory model are considered.Keywords
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