On constrained Markov decision processes

Authors:
Moshe Haviv
Affiliations:
Department of Statistics, The Hebrew University of Jerusalem, 91905 Jerusalem, Israel
Venue:
Operations Research Letters
Year:
1996

Citing 3
Cited 2

Multichain Markov decision processes with a sample path constraint: a decomposition approach

Mathematics of Operations Research
Optimal paths in graphs with stochastic or multidimensional weights

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Dynamic Programming: Models and Applications

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COMPUTING AVERAGE OPTIMAL CONSTRAINED POLICIES IN STOCHASTIC DYNAMIC PROGRAMMING

Probability in the Engineering and Informational Sciences
Adaptive control of constrained finite Markov chains

Automatica (Journal of IFAC)

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Abstract

A multichain Markov decision process with constraints on the expected state-action frequencies may lead to a unique optimal policy which does not satisfy Bellman's principle of optimality. The model with sample-path constraints does not suffer from this drawback.