Weighted Markov decision processes with perturbation

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	Weighted Markov decision processes with perturbation
	Liu, K; Filar, JA
	2001-07-01
发表期刊	MATHEMATICAL METHODS OF OPERATIONS RESEARCH
ISSN	1432-2994
卷号	53 期号:3 页码:465-480
摘要	In this paper we consider the weighted reward Markov decision process, with perturbation. The "weighted reward" refers to appropriately normalized convex combination of the discounted and the long-run average reward criteria. This criterion allows the controller to trade-off short-term costs versus long-term costs. In every application where both the discounted and the long-run average criteria have been proposed in the past, there is clearly a rationale for considering the weighted criterion. Of course, as with all Markov decision models, the standard weighted criterion model assumes that all the transition probabilities are known precisely. Since, in most applications this would not be the case, we consider the perturbed version of the weighted reward model. We prove that in most cases a nearly optimal control can be found in the class of relatively simple "ultimately deterministic" controls. These are controls which behave just like deterministic stationary controls, after a certain point of time.
关键词	Markov decision processes weighted reward optimal policy delta-optimal singular perturbation general perturbation
语种	英语
WOS研究方向	Operations Research & Management Science ; Mathematics
WOS类目	Operations Research & Management Science ; Mathematics, Applied
WOS记录号	WOS:000170339000009
出版者	PHYSICA-VERLAG GMBH & CO
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/16268
专题	应用数学研究所
通讯作者	Liu, K
作者单位	1.Chinese Acad Sci, Acad Math & Syst Sci, Inst Appl Math, Beijing 100080, Peoples R China 2.Univ S Australia, Sch Math, Adelaide, SA 5095, Australia
推荐引用方式 GB/T 7714	Liu, K,Filar, JA. Weighted Markov decision processes with perturbation[J]. MATHEMATICAL METHODS OF OPERATIONS RESEARCH,2001,53(3):465-480.
APA	Liu, K,&Filar, JA.(2001).Weighted Markov decision processes with perturbation.MATHEMATICAL METHODS OF OPERATIONS RESEARCH,53(3),465-480.
MLA	Liu, K,et al."Weighted Markov decision processes with perturbation".MATHEMATICAL METHODS OF OPERATIONS RESEARCH 53.3(2001):465-480.