Stopped Markov decision processes with multiple constraints

Masayuki Horiguchi

Mathematical Methods of Operations Research, 2001, vol. 54, issue 3, 455-469

Abstract: In this paper, a optimization problem for stopped Markov decision processes with vector-valued terminal reward and multiple running cost constraints is considered. Applying the idea of occupation measures and using the scalarization technique for vector maximization problems we obtain the equivalent Mathematical Programming problem and show the existence of a Pareto optimal pair of stationary policy and stopping time requiring randomization in at most k states, where k is the number of constraints. Moreover Lagrange multiplier approaches are considered. The saddle-point statements are given, whose results are applied to obtain a related parametric Mathematical Programming, by which the problem is solved. Numerical examples are given. Copyright Springer-Verlag Berlin Heidelberg 2001

Keywords: Key words: Stopped Markov decision process; multi-objective; multiple constraints; Mathematical Programming formulation; Lagrange multiplier (search for similar items in EconPapers)
Date: 2001
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://hdl.handle.net/10.1007/s001860100160 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:mathme:v:54:y:2001:i:3:p:455-469

Ordering information: This journal article can be ordered from
http://www.springer.com/economics/journal/00186

DOI: 10.1007/s001860100160

Access Statistics for this article

Mathematical Methods of Operations Research is currently edited by Oliver Stein

More articles in Mathematical Methods of Operations Research from Springer, Gesellschaft für Operations Research (GOR), Nederlands Genootschap voor Besliskunde (NGB)
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().