Threshold probability of non-terminal type in finite horizon Markov decision processes |
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Authors: | Akifumi Kira Takayuki Ueno Toshiharu Fujita |
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Institution: | 1. Graduate School of Mathematics, Kyushu University, Fukuoka 819-0395, Japan;2. Faculty of Economics, University of Nagasaki, Sasebo 858-8580, Japan;3. Graduate School of Engineering, Kyushu Institute of Technology, Kitakyushu 804-8550, Japan |
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Abstract: | We consider a class of problems concerned with maximizing probabilities, given stage-wise targets, which generalizes the standard threshold probability problem in Markov decision processes. The objective function is the probability that, at all stages, the associatively combined accumulation of rewards earned up to that point takes its value in a specified stage-wise interval. It is shown that this class reduces to the case of the nonnegative-valued multiplicative criterion through an invariant imbedding technique. We derive a recursive formula for the optimal value function and an effective method for obtaining the optimal policies. |
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