VECTOR-VALUED MARKOV DECISION-PROCESSES AND THE SYSTEMS OF LINEAR INEQUALITIES

Authors
WAKUTA K
Citation
K. Wakuta, VECTOR-VALUED MARKOV DECISION-PROCESSES AND THE SYSTEMS OF LINEAR INEQUALITIES, Stochastic processes and their applications, 56(1), 1995, pp. 159-169
Citations number
19
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
Stochastic processes and their applications → ACNP
ISSN journal
03044149
Volume
56
Issue
1
Year of publication
1995
Pages
159 - 169
Database
ISI
SICI code
0304-4149(1995)56:1<159:VMDATS>2.0.ZU;2-S
Abstract
For a vector-valued Markov decision process, we characterize optimal ( deterministic) stationary policies by systems of linear inequalities a nd present an algorithm for finding all optimal stationary policies fr om among all randomized, history-remembering ones. The algorithm consi sts of improving the policies and of checking the optimality of a poli cy by solving the associated system of linear inequalities via Fourier elimination.