Continuity of the Value of Competitive Markov Decision Processes

Eilon Solan ()
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Eilon Solan: Northwestern University

Journal of Theoretical Probability, 2003, vol. 16, issue 4, 831-845

Abstract: Abstract We provide a bound for the variation of the function that assigns to every competitive Markov decision process and every discount factor its discounted value. This bound implies that the undiscounted value of a competitive Markov decision process is continuous in the relative interior of the space of transition rules.

Keywords: competitive Markov decision process; stochastic games; value; sensitivity analysis (search for similar items in EconPapers)
Date: 2003
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DOI: 10.1023/B:JOTP.0000011995.28536.ef

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