Monotone optimal control for a class of Markov decision processes

Weifen Zhuang and Michael Z.F. Li

European Journal of Operational Research, 2012, vol. 217, issue 2, 342-350

Abstract: This paper provides a unified framework to study monotone optimal control for a class of Markov decision processes through D-multimodularity. We demonstrate that each system in this class can be classified as either a substitution-type or a complement-type system according to the possible transition set, which can be used as a classification mechanism that integrates a variety of models in the literature. We develop a generic proof of the structural properties of both types of system. In particular, we show that D-multimodularity is a generally sufficient condition for monotone optimal control of different types of system in this class. With this unified theory, there is no need to pursue each problem ad hoc and the structural properties of this class of MDPs follow with ease.

Keywords: Markov processes; D-multimodularity; Monotone optimal control; Substitution; Complement (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:217:y:2012:i:2:p:342-350

DOI: 10.1016/j.ejor.2011.09.021

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