Article ID Journal Published Year Pages File Type
6419415 Journal of Mathematical Analysis and Applications 2012 14 Pages PDF
Abstract

We deal with a discrete-time finite horizon Markov decision process with locally compact Borel state and action spaces, and possibly unbounded cost function. Based on Lipschitz continuity of the elements of the control model, we propose a state and action discretization procedure for approximating the optimal value function and an optimal policy of the original control model. We provide explicit bounds on the approximation errors. Our results are illustrated by a numerical application to a fisheries management problem.

Related Topics
Physical Sciences and Engineering Mathematics Analysis
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