Finite state approximations for denumerable state infinite horizon discounted Markov decision processes with unbounded rewards (Q790055): Difference between revisions

In very many Markov decision problems with denumerable states, the reward vector is unbounded. This paper deals with the approach to unbounded problems of \textit{J. M. Harrison} [Ann. Math. Staist. 43, 636-644 (1972; Zbl 0262.90064)], \textit{J. Wessels} [J. Math. Anal. Appl. 58, 326-335 (1977; Zbl 0354.90087)] and \textit{S. A. Lippman} [Manage. Sci., Theory 21, 1225-1233 (1975; Zbl 0309.90017)]. The approach is to use the results of these authors to convert the unbounded problems to bounded problems for which results in our earlier papers [e.g., J. Math. Anal. Appl. 74, 292- 295 (1980; Zbl 0428.90082); ibid. 72, 512-523 (1979; Zbl 0431.90080)] will then apply. The approximation errors are dependent on the appropriate contraction ratio factor for each case considered.