On Bellman's principle with inequality constraints

DOI10.1016/J.ORL.2011.11.004zbMATH Open1242.90282arXiv1111.3271OpenAlexW2963250153MaRDI QIDQ435749FDOQ435749

Authors: Edwin K. P. Chong, Scott A. Miller, Jason Adaska 

Publication date: 12 July 2012

Published in: Operations Research Letters (Search for Journal in Brave)

Abstract: We consider an example by Haviv (1996) of a constrained Markov decision process that, in some sense, violates Bellman's principle. We resolve this issue by showing how to preserve a form of Bellman's principle that accounts for a change of constraint at states that are reachable from the initial state.

Full work available at URL: https://arxiv.org/abs/1111.3271

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zbMATH Keywords

constrained optimizationMarkov decision processestime consistencyBellman

Mathematics Subject Classification ID

Markov and semi-Markov decision processes (90C40)

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Cited In (1)

• Title not available (Why is that?)

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