Constrained Markovian decision processes: the dynamic programming approach

Authors:
A. B. Piunovskiy;X. Mao
Affiliations:
Department of Mathematical Science, Division of Statistics and Operational Research, M and O Building, University of Liverpool, Liverpool, L 69 7ZL, UK;Strathclyde University, Glasgow, UK
Venue:
Operations Research Letters
Year:
2000

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Abstract

We consider semicontinuous controlled Markov models in discrete time with total expected losses. Only control strategies which meet a set of given constraint inequalities are admissible. One has to build an optimal admissible strategy. The main result consists in the constructive development of optimal strategy with the help of the dynamic programming method. The model studied covers the case of a finite horizon and the case of a homogeneous discounted model with different discount factors.