Constrained optimality for finite horizon semi-Markov decision processes in Polish spaces |
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Authors: | Yonghui Huang Zhongfei Li Xianping Guo |
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Institution: | 1. School of Mathematics and Computational Science, Sun Yat-Sen University, Guangzhou 510275, China;2. Business School, Sun Yat-Sen University, Guangzhou 510275, China |
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Abstract: | This paper focuses on solving a finite horizon semi-Markov decision process with multiple constraints. We convert the problem to a constrained absorbing discrete-time Markov decision process and then to an equivalent linear program over a class of occupancy measures. The existence, characterization and computation of constrained-optimal policies are established under suitable conditions. An example is given to demonstrate our results. |
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Keywords: | Semi-Markov decision processes Expected finite horizon reward Occupancy measure Constrained-optimal policy Linear program |
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