A unified approach to Markov decision problems and performance sensitivity analysis (Q1974013)

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A unified approach to Markov decision problems and performance sensitivity analysis
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    A unified approach to Markov decision problems and performance sensitivity analysis (English)
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    5 June 2001
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    The present note provides a unified formulation for the performance sensitivity analysis of Markov chains and Markov decision problems with both infinite horizon average-cost and discounted performance criteria. The approach is based on the concept of \(\alpha\)-potential (of a discounted Poisson equation), which can be estimated on the basis of a single-sample path of Markov chains.
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    discounted Lyapunov equations
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    perturbation analysis
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    sensitivity analysis of Markov chains
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    Markov decision problems
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    \(\alpha\)-potential
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    discounted Poisson equation
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