Accession Number : AD0771432
Title : Denumerable State Markov Decision Processes with Unbounded Costs.
Descriptive Note : Technical rept.,
Corporate Author : STANFORD UNIV CALIF DEPT OF STATISTICS
Personal Author(s) : Reed,Frank C.
Report Date : 06 NOV 1973
Pagination or Media Count : 62
Abstract : The report establishes sufficient conditions for both the existence of stationary optimal policies and the optimality of stationary policies in Markov decision processes with unbounded costs. The otpimization criteria considered are minimum expected discounted cost over an infinite horizon and minimum expected average cost per unit time. Sufficient conditions that one may frequently establish in applications are given for the existence of a stationary optimal policy for both optimization criteria. It is also shown that for both optimization criteria optimal stationary policies are associated with the solution of the usual functional equations that arise in Markov decision processes with bounded costs. With unbounded costs, however, one must place additional constraints on these solutions to assure that the implied stationary policy is optimal. (Author)
Descriptors : *Decision theory, *Stochastic processes, *Linear programming, Probability density functions, Costs, Random variables, Theorems
Subject Categories : Operations Research
Distribution Statement : APPROVED FOR PUBLIC RELEASE