|
|||||
|
|
Non-Stationary Semi-Markov Decision Processes on a Finite Horizon |
|
| Authors: | Mrinal K Ghosh Subhamay Saha |
| Institution: | 1. Department of Mathematics , Indian Institute of Science , Bangalore , India mkg@math.iisc.ernet.in;3. Department of Mathematics , Indian Institute of Science , Bangalore , India |
| Abstract: | We introduce and study a class of non-stationary semi-Markov decision processes on a finite horizon. By constructing an equivalent Markov decision process, we establish the existence of a piecewise open loop relaxed control which is optimal for the finite horizon problem. |
| Keywords: | Finite horizon Markov decision processes Non-stationary semi-Markov decision processes Piecewise open loop relaxed control |