【摘 要】
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This talk concerns with the constrained optimality problem(COP)of first passage discrete-time Markov decision processes with multi-constraints,state-depende
【机 构】
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Sun Yat-sen University,PRC
【出 处】
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The 11th Workshop on Markov Processes and Related topics(第十一
论文部分内容阅读
This talk concerns with the constrained optimality problem(COP)of first passage discrete-time Markov decision processes with multi-constraints,state-dependent discount factors,and possibly unbounded costs.By means of the properties of a so-called occupation measure of a policy,we show that the constrained optimality problem is equivalent to an(infinitedimensional)linear programming on the set of occupation measures,and thus prove the existence of an optimal policy under suitable conditions.Furthermore,using the equivalence between the constrained optimality problem and the linear programming,we obtain an exact form of an optimal policy for the case of finite states and actions.Finally,as an example,a controlled queueing system is given to illustrate our results.
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