Weighted Markov decision processes with perturbation

CORC > 数学与系统科学研究院 > 中国科学院数学与系统科学研究院 > 应用数学研究所

	Weighted Markov decision processes with perturbation
	Liu, K; Filar, JA
刊名	MATHEMATICAL METHODS OF OPERATIONS RESEARCH
	2001-07-01
卷号	53 期号:3 页码:465-480
关键词	Markov decision processes weighted reward optimal policy delta-optimal singular perturbation general perturbation
ISSN号	1432-2994
英文摘要	In this paper we consider the weighted reward Markov decision process, with perturbation. The "weighted reward" refers to appropriately normalized convex combination of the discounted and the long-run average reward criteria. This criterion allows the controller to trade-off short-term costs versus long-term costs. In every application where both the discounted and the long-run average criteria have been proposed in the past, there is clearly a rationale for considering the weighted criterion. Of course, as with all Markov decision models, the standard weighted criterion model assumes that all the transition probabilities are known precisely. Since, in most applications this would not be the case, we consider the perturbed version of the weighted reward model. We prove that in most cases a nearly optimal control can be found in the class of relatively simple "ultimately deterministic" controls. These are controls which behave just like deterministic stationary controls, after a certain point of time.
WOS研究方向	Operations Research & Management Science ; Mathematics
语种	英语
出版者	PHYSICA-VERLAG GMBH & CO
WOS记录号	WOS:000170339000009
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/16267]
专题	应用数学研究所
通讯作者	Liu, K
作者单位	1.Chinese Acad Sci, Acad Math & Syst Sci, Inst Appl Math, Beijing 100080, Peoples R China 2.Univ S Australia, Sch Math, Adelaide, SA 5095, Australia
推荐引用方式 GB/T 7714	Liu, K,Filar, JA. Weighted Markov decision processes with perturbation[J]. MATHEMATICAL METHODS OF OPERATIONS RESEARCH,2001,53(3):465-480.
APA	Liu, K,&Filar, JA.(2001).Weighted Markov decision processes with perturbation.MATHEMATICAL METHODS OF OPERATIONS RESEARCH,53(3),465-480.
MLA	Liu, K,et al."Weighted Markov decision processes with perturbation".MATHEMATICAL METHODS OF OPERATIONS RESEARCH 53.3(2001):465-480.