Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1142455 | Operations Research Letters | 2014 | 8 Pages |
Abstract
We study infinite-horizon nonstationary Markov decision processes with discounted cost criterion, finite state space, and side constraints. This problem can equivalently be formulated as a countably infinite linear program (CILP), a linear program with countably infinite number of variables and constraints. We provide a complete algebraic characterization of extreme points of the CILP formulation and illustrate the characterization for special cases. The existence of a KK-randomized optimal policy for a problem with KK side constraints also follows from this characterization.
Related Topics
Physical Sciences and Engineering
Mathematics
Discrete Mathematics and Combinatorics
Authors
Ilbin Lee, Marina A. Epelman, H. Edwin Romeijn, Robert L. Smith,