Constrained Markov Decision Processes with Non-constant Discount Factor

Héctor Jasso-Fuentes () and Tomás Prieto-Rumeau ()
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Héctor Jasso-Fuentes: CINVESTAV-IPN
Tomás Prieto-Rumeau: UNED

Journal of Optimization Theory and Applications, 2024, vol. 202, issue 2, No 15, 897-931

Abstract: Abstract This paper studies constrained Markov decision processes under the total expected discounted cost optimality criterion, with a state-action dependent discount factor that may take any value between zero and one. Both the state and the action space are assumed to be Borel spaces. By using the linear programming approach, consisting in stating the control problem as a linear problem on a set of occupation measures, we show the existence of an optimal stationary Markov policy. Our results are based on the study of both weak-strong topologies in the space of occupation measures and Young measures in the space of Markov policies.

Keywords: Markov decision processes; Constrained control problems; Occupation measures; Linear programming; 93E20; 90C40; 60J05 (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s10957-024-02453-y

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