Interval Methods for Uncertain Markov Decision Processes

Masami Kurano (), Masami Yasuda () and Jun-ichi Nakagami ()
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Masami Kurano: Chiba University
Masami Yasuda: Chiba University
Jun-ichi Nakagami: Chiba University

Chapter Chapter 12 in Markov Processes and Controlled Markov Chains, 2002, pp 223-232 from Springer

Abstract: Abstract In this paper, interval methods for uncertain Markov decision processes are considered. That is, a controlled Markov set-chain model with a finite state is developed by an interval arithmetic analysis, and we will find Pareto optimal policies which maximize the discounted or average expected rewards over all stationary policies under some partial order. The optimal policies are characterized by a maximal solution of an optimality equation including efficient set function.

Keywords: Controlled Markov set-chain; discounted reward; average reward; Pareto optimal; interval arithmetic (search for similar items in EconPapers)
Date: 2002
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-1-4613-0265-0_12

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DOI: 10.1007/978-1-4613-0265-0_12

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