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Sensitivity analysis and optimal ultimately stationary deterministic policies in some constrained discounted cost models

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Title Sensitivity analysis and optimal ultimately stationary deterministic policies in some constrained discounted cost models
 
Creator IYER, K
HEMACHANDRA, N
 
Subject markov decision-processes
stationary deterministic policies
randomized policies
linear programming
simplicies
finite models
 
Description We consider a discrete time Markov Decision Process (MDP) under the discounted payoff criterion in the presence of additional discounted cost constraints. We study the sensitivity of optimal Stationary Randomized (SR) policies in this setting with respect to the upper bound on the discounted cost constraint functionals. We show that such sensitivity analysis leads to an improved version of the Feinberg-Shwartz algorithm (Math Oper Res 21(4):922-945, 1996) for finding optimal policies that are ultimately stationary and deterministic.
 
Publisher SPRINGER HEIDELBERG
 
Date 2011-08-30T05:23:18Z
2011-12-26T12:58:47Z
2011-12-27T05:49:18Z
2011-08-30T05:23:18Z
2011-12-26T12:58:47Z
2011-12-27T05:49:18Z
2010
 
Type Article
 
Identifier MATHEMATICAL METHODS OF OPERATIONS RESEARCH, 71(3), 401-425
1432-2994
http://dx.doi.org/10.1007/s00186-010-0303-8
http://dspace.library.iitb.ac.in/xmlui/handle/10054/12206
http://hdl.handle.net/10054/12206
 
Language en