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A multicriteria competitive Markov decision process

Author

Listed:
  • A. M. Rodrı´guez-Chı´a
  • J. Puerto
  • F. R. Fernández

Abstract

In this paper, we deal with a multicriteria competitive Markov decision process. In the decision process there are two decision makers with a competitive behaviour, so they are usually called players. Their rewards are coupled because depend on the actions chosen by both players in each state of the process. We propose as solution of this game the set of Pareto-optimal security strategies for any of the players in the original problem. We show that this solution set can be obtained as the efficient solution set of a multicriteria linear programming problem. Copyright Springer-Verlag Berlin Heidelberg 2002

Suggested Citation

  • A. M. Rodrı´guez-Chı´a & J. Puerto & F. R. Fernández, 2002. "A multicriteria competitive Markov decision process," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 55(3), pages 359-369, June.
    • Handle: RePEc:spr:anresc:v:55:y:2002:i:3:p:359-369
    DOI: 10.1007/s001860200194
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    Cited by:

    1. Gutierrez, J. & Puerto, J. & Sicilia, J., 2004. "The multiscenario lot size problem with concave costs," European Journal of Operational Research, Elsevier, vol. 156(1), pages 162-182, July.

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