Markov control processes with randomized discounted cost

被引：22

作者：

Gonzalez-Hernandez, Juan

Lopez-Martinez, Raquiel R.

Ruben Perez-Hernandez, J.

机构：

[1] Fac Matemat UV, Xalapa 91090, Veracruz, Mexico

[2] Univ Nacl Autonoma Mexico, IIMAS, Dept Probabil & Estadist, Mexico City 01000, DF, Mexico

[3] IPN, UPIITA, Dept Ciencias Basicas, Mexico City 07738, DF, Mexico

来源：

MATHEMATICAL METHODS OF OPERATIONS RESEARCH | 2007年 / 65卷 / 01期

关键词：

Markov decision processes; discounted cost; random rate; dynamic programming;

D O I：

10.1007/s00186-006-0092-2

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

In this paper we consider Markov Decision Processes with discounted cost and a random rate in Borel spaces. We establish the dynamic programming algorithm in finite and infinity horizon cases. We provide conditions for the existence of measurable selectors. And we show an example of consumption-investment problem.

引用

页码：27 / 44

页数：18

共 29 条

[1] Hierarchical algorithms for discounted and weighted Markov decision processes [J].