Linear Program for Communicating MDPs with Multiple Constraints

Jerzy A. Filar and Xianping Guo
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Jerzy A. Filar: The University of South Australia, School of Mathematics
Xianping Guo: Zhongshan University, The Department of Mathematics

Chapter Chapter 14 in Markov Processes and Controlled Markov Chains, 2002, pp 245-254 from Springer

Abstract: Abstract In this paper, a mapping is developed between the ‘multichain’ and ‘unchain’ linear programs for average reward Markov decision processes (MDPs) with multiple constraints on average expected costs. Our approach applies the communicating properties of MDPs. The mapping is used not only to prove that the unichain linear program solves the average reward communicating MDPs with multiple constraints on average expected costs, but also to demonstrate that the optimal gain for the communicating MDPs with multiple constraints on average expected costs is constant.

Keywords: linear program; multiple constraints; communicating MDPs (search for similar items in EconPapers)
Date: 2002
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-1-4613-0265-0_14

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DOI: 10.1007/978-1-4613-0265-0_14

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