Optimal stationary policies in the vector-valued Markov decision process

Kazuyoshi Wakuta

Stochastic Processes and their Applications, 1992, vol. 42, issue 1, 149-156

Abstract: In this paper we are concerned with the vector-valued Markov decision process and consider the characterization of optimal stationary policies among the set of all (randomized, history-dependent) policies. Using the scalarization technique developed for the vector maximizing problem in the nonlinear programming, we present a necessary condition and a (different) sufficient condition for a stationary policy to be optimal among the set of all policies.

Keywords: dynamic; programming; Markov; decision; process; multiobjective; proper; efficiency (search for similar items in EconPapers)
Date: 1992
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