Markov decision processes with exponentially representable discounting

Authors:
Yair Carmon;Adam Shwartz
Affiliations:
Faculty of Electrical Engineering, Technion - IIT, Haifa, Israel;Faculty of Electrical Engineering, Technion - IIT, Haifa, Israel
Venue:
Operations Research Letters
Year:
2009

Citing 2
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Abstract

We generalize the geometric discount of finite discounted cost Markov Decision Processes to ''exponentially representable''discount functions, prove existence of optimal policies which are stationary from some time N onward, and provide an algorithm for their computation. Outside this class, optimal ''N-stationary'' policies in general do not exist.