Lipschitz Continuity of Value Functions in Markovian Decision Processes

K. Hinderer ()

Mathematical Methods of Operations Research, 2005, vol. 62, issue 1, 3-22

Abstract: We present tools and guidelines for investigating Lipschitz continuity of the value functions in MDP’s, using the Hausdorff metric and the Kantorovich metric for measuring the influence of the constraint set and the transition law, respectively. The methods are explained by examples. Additional topics include an application to the the discretization algorithm of Bertsekas (1975). Copyright Springer-Verlag Berlin Heidelberg 2005

Keywords: Markovian decision processes; Lipschitz continuity; approximate solution of MDP’s by discretization; 90C40; 47J10 (search for similar items in EconPapers)
Date: 2005
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DOI: 10.1007/s00186-005-0438-1

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