IDEAS home Printed from https://ideas.repec.org/a/eee/spapps/v56y1995i1p159-169.html
   My bibliography  Save this article

Vector-valued Markov decision processes and the systems of linear inequalities

Author

Listed:
  • Wakuta, Kazuyoshi

Abstract

For a vector-valued Markov decision process, we characterize optimal (deterministic) stationary policies by systems of linear inequalities and present an algorithm for finding all optimal stationary policies from among all randomized, history-remembering ones. The algorithm consists of improving the policies and of checking the optimality of a policy by solving the associated system of linear inequalities via Fourier elimination.

Suggested Citation

  • 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.
    • Handle: RePEc:eee:spapps:v:56:y:1995:i:1:p:159-169
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/0304-4149(94)00064-Z
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Nagata Furukawa, 1980. "Characterization of Optimal Policies in Vector-Valued Markovian Decision Processes," Mathematics of Operations Research, INFORMS, vol. 5(2), pages 271-279, May.
    2. 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.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. 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.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Matthew Sobel, 2013. "Discounting axioms imply risk neutrality," Annals of Operations Research, Springer, vol. 208(1), pages 417-432, September.
    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.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:56:y:1995:i:1:p:159-169. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.