Existence of a solution to the Markov renewal programming problem (Q1108206)
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English | Existence of a solution to the Markov renewal programming problem |
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Existence of a solution to the Markov renewal programming problem (English)
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1988
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The authors' aim is to show that (in their notation) F: \({\mathbb{R}}^ N\to {\mathbb{R}}^ N\) has a fixed point. They correctly prove that F is continuous, but in the final paragraph go on to claim that F is a contraction mapping since \(\| F(V^ 1)-F(V^ 2)\| \leq k\| V^ 1-V^ 2\|\), where \(0<k<1\). However, in their development k will depend on \(V^ 1\), \(V^ 2\) so that the result appears invalid. (Indeed the whole of this paragraph is unconvincing.) Their presentation mirrors the cited paper by \textit{J. F. Shapiro} [ibid. 49, 710-712 (1975; Zbl 0302.90056)] who dealt with a discounted Markov decision process: here, Brouwer's theorem (rather than the contraction mapping principle) is correctly invoked.
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compact action space
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infinite horizon
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finite state space
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continuous action space
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Markov renewal programming
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fixed point
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contraction mapping
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