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Relation between continuous and discrete time markovian decision problems

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  • Prasadarao Kakumanu

Abstract

An associated discrete (continuous) time Markovian decision problem for any given continuous (discrete) time Markovian decision model is formulated. A relationship between the continuous and associated discrete time discounted returns is obtained. This result is used to show the existence of a deterministic stationary policy that optimizes both discounted return functions. It is also proved that the same policy optimizes the average expected return for both continuous and the associated discrete time processes. The results obtained in this paper can be used to solve the continuous time Markovian decision problem by using the discrete time algorithms or vice versa.

Suggested Citation

  • Prasadarao Kakumanu, 1977. "Relation between continuous and discrete time markovian decision problems," Naval Research Logistics Quarterly, John Wiley & Sons, vol. 24(3), pages 431-439, September.
    • Handle: RePEc:wly:navlog:v:24:y:1977:i:3:p:431-439
    DOI: 10.1002/nav.3800240306
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    Cited by:

    1. Berenice Anne Neumann, 2020. "Stationary Equilibria of Mean Field Games with Finite State and Action Space," Dynamic Games and Applications, Springer, vol. 10(4), pages 845-871, December.

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