On Bellman's principle with inequality constraints

DOI10.1016/J.ORL.2011.11.004MaRDI QIDQ435749zbMATH OpenOpenAlexFDO

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)

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

zbMATH Keywords

constrained optimizationMarkov decision processestime consistencyBellman

Mathematics Subject Classification ID

Markov and semi-Markov decision processes (90C40)

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.

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