CONTROLLED MARKOV SET-CHAINS WITH DISCOUNTING

In the framework of discounted Markov decision processes, we consider the case that the transition probability varies in some given domain a t each time and its variation is unknown or unobservable. To this end we introduce a new model, named controlled Markov set-chains, based on Markov set-chains, and discuss its optimization under some partial or der.Also, a numerical example is given to explain the theoretical resu lts and the computation.