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Optimal stationary policies in the vector-valued Markov decision process

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  • Wakuta, Kazuyoshi

Abstract

In this paper we are concerned with the vector-valued Markov decision process and consider the characterization of optimal stationary policies among the set of all (randomized, history-dependent) policies. Using the scalarization technique developed for the vector maximizing problem in the nonlinear programming, we present a necessary condition and a (different) sufficient condition for a stationary policy to be optimal among the set of all policies.

Suggested Citation

  • Wakuta, Kazuyoshi, 1992. "Optimal stationary policies in the vector-valued Markov decision process," Stochastic Processes and their Applications, Elsevier, vol. 42(1), pages 149-156, August.
    • Handle: RePEc:eee:spapps:v:42:y:1992:i:1:p:149-156
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    Cited by:

    1. Wakuta, Kazuyoshi, 1995. "Vector-valued Markov decision processes and the systems of linear inequalities," Stochastic Processes and their Applications, Elsevier, vol. 56(1), pages 159-169, March.
    2. Hernández-Lerma, Onésimo & Romera, Rosario, 2000. "Pareto optimality in multiobjective Markov control processes," DES - Working Papers. Statistics and Econometrics. WS 9865, Universidad Carlos III de Madrid. Departamento de Estadística.

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