The Expected Total Cost Criterion for Markov Decision Processes under Constraints: A Convex Analytic Approach

DOI10.1239/aap/1346955264zbMath1286.90161OpenAlexW2028198084MaRDI QIDQ3167338

Masayuki Horiguchi, François Dufour, Aleksey B. Piunovskiy

Publication date: 2 November 2012

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aap/1346955264

zbMATH Keywords

linear programmingoccupation measureMarkov decision processconstraintexpected total cost criterion

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Markov and semi-Markov decision processes (90C40)

Related Items (11)

Impulsive control for continuous-time Markov decision processes: a linear programming approach ⋮ Aggregated occupation measures and linear programming approach to constrained impulse control problems ⋮ Extreme Occupation Measures in Markov Decision Processes with an Absorbing State ⋮ A Convex Programming Approach for Discrete-Time Markov Decision Processes under the Expected Total Reward Criterion ⋮ A linear programming formulation for constrained discounted continuous control for piecewise deterministic Markov processes ⋮ Linear programming approach to optimal impulse control problems with functional constraints ⋮ Note on discounted continuous-time Markov decision processes with a lower bounding function ⋮ Constrained Markov Decision Processes with Expected Total Reward Criteria ⋮ Duality in optimal impulse control ⋮ On Convergence of Value Iteration for a Class of Total Cost Markov Decision Processes ⋮ The Expected Total Cost Criterion for Markov Decision Processes under Constraints

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