Denumerable state markovian sequential control processes: On randomizations of optimal policies

S. S. Chitgopekar

Naval Research Logistics Quarterly, 1975, vol. 22, issue 3, 567-573

Abstract: We consider a denumerable state Markovian sequential control process. It is well known that when we consider the expected total discounted income as a criterion, there exists a nonrandomized stationary policy that is optimal. It is also well known that when we consider the expected average income as a criterion, an optimal nonrandomized stationary policy exists when a certain system of equations has a solution. The problem considered here is: if there exist two optimal nonrandomized stationary policies, will a randomization of these two policies be optimal? It is shown that in the discounted case the answer is always yes, but in the average income case, the answer is yes only under certain additional conditions.

Date: 1975
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Persistent link: https://EconPapers.repec.org/RePEc:wly:navlog:v:22:y:1975:i:3:p:567-573

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