Nonatomic total rewards Markov decision processes with multiple criteria

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• 作者：Feinberg ; Eugene A. ; Piunovskiy ; Aleksey B.
• 刊名：Journal of Mathematical Analysis and Applications
• 出版年：2002
• 出版时间：September 1, 2002
• 年：2002
• 卷：273
• 期：1
• 页码：93-111
• 全文大小：150 K

文摘

We consider a Markov decision process with an uncountable state space for which the vector performance functional has the form of expected total rewards. Under the single condition that initial distribution and transition probabilities are nonatomic, we prove that the performance space coincides with that generated by nonrandomized Markov policies. We also provide conditions for the existence of optimal policies when the goal is to maximize one component of the performance vector subject to inequality constraints on other components. We illustrate our results with examples of production and financial problems.