An Approach for Determining the Optimal Strategies for an Average Markov Decision Problem with Finite State and Action Spaces
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2019-02-02 18:37
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519.217 (13)
Probabilitate. Statistică matematică (80)
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LOZOVANU, Dmitrii, PICKL, Stefan Wolfgang. An Approach for Determining the Optimal Strategies for an Average Markov Decision Problem with Finite State and Action Spaces. In: Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica, 2018, vol. 86, nr. 1(86), pp. 34-49. ISSN 1024-7696.
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Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica
Volumul 86, Numărul 1(86) / 2018 / ISSN 1024-7696 /ISSNe 2587-4322

An Approach for Determining the Optimal Strategies for an Average Markov Decision Problem with Finite State and Action Spaces

CZU: 519.217
MSC 2010: 90C15, 90C40.

Pag. 34-49

Lozovanu Dmitrii1, Pickl Stefan Wolfgang2
 
1 Institute of Mathematics and Computer Science ASM,
2 Institut für Theoretische Informatik, Mathematik und Operations Research
 
Disponibil în IBN: 26 iulie 2018


Rezumat

The average reward Markov decision problem with finite state and action spaces is considered and an approach for determining the optimal pure and mixed stationary strategies for this problem is proposed. We show that the considered problem can be formulated in terms of stationary strategies where the objective function is quasi-monotonic (i. e. it is quasi-convex and quasi-concave) on the feasible set of stationary strategies. Using such a quasi-monotonic programming model with linear constraints we ground algorithms for determining the optimal pure and mixed stationary strategies for the average Markov decision problem.

Cuvinte-cheie
Markov decision processes, Average optimization criterion, stationary strategies, Optimal strategies.

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