Finite Linear Programming Approximations of Constrained Discounted Markov Decision Processes

@article{Dufour2013FiniteLP,
  title={Finite Linear Programming Approximations of Constrained Discounted Markov Decision Processes},
  author={François Dufour and Tom{\'a}s Prieto-Rumeau},
  journal={SIAM J. Control and Optimization},
  year={2013},
  volume={51},
  pages={1298-1324}
}
We consider a Markov decision process (MDP) with constraints under the total expected discounted cost optimality criterion. We are interested in proposing approximation methods of the optimal value of this constrained MDP. To this end, starting from the linear programming (LP) formulation of the constrained MDP (on an infinite-dimensional space of measures), we propose a finite state approximation of this LP problem. This is achieved by suitably approximating a probability measure underlying… CONTINUE READING

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