DISCOUNTED COST MARKOV DECISION-PROCESSES ON BOREL SPACES - THE LINEAR-PROGRAMMING FORMULATION

[摘要] This paper is concerned with the linear programming formulation of Markov decision processes (or stochastic dynamic programs) with Borel state and action spaces and the discounted cost criterion. The one-stage cost function may be unbounded. A linear program and its dual are introduced, for which is shown the absence of a duality gap and that a strong duality condition holds. These results are used to determine the optimal value and the existence of an optimal policy for the discounted cost problem. (C) 1994 Academic Press, Inc.

[发布日期] 1994-04-15