Technical Communique: A unified approach to Markov decision problems and performance sensitivity analysis

  • Authors:
  • Xi-Ren Cao

  • Affiliations:
  • Department of Electrical and Electronic Engineering, The Hong Kong University of Science and Technology, Clear Water Bay, Kowloon, Hong Kong

  • Venue:
  • Automatica (Journal of IFAC)
  • Year:
  • 2000

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Abstract

We propose a simple approach that 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.