Article ID Journal Published Year Pages File Type
7543835 Operations Research Letters 2018 6 Pages PDF
Abstract
This note describes sufficient conditions under which total-cost and average-cost Markov decision processes (MDPs) with general state and action spaces, and with weakly continuous transition probabilities, can be reduced to discounted MDPs. For undiscounted problems, these reductions imply the validity of optimality equations and the existence of stationary optimal policies. The reductions also provide methods for computing optimal policies. The results are applied to a capacitated inventory control problem with fixed costs and lost sales.
Related Topics
Physical Sciences and Engineering Mathematics Discrete Mathematics and Combinatorics
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