|
|||||
|
|
Markov control processes with randomized discounted cost |
|
| Authors: | Juan González-Hernández Raquiel R. López-Martínez J. Rubén Pérez-Hernández |
| Affiliation: | (1) Departamento de Probabilidad y Estadística, IIMAS-UNAM, A. Postal 20–726, Mexico D.F., 01000, Mexico;(2) Facultad de Matemáticas UV, A. Postal 270, Xalapa, Ver.91090, Mexico;(3) Departamento de Ciencias Básicas, UPIITA-IPN, Mexico, Mexico |
| Abstract: | In this paper we consider Markov Decision Processes with discounted cost and a random rate in Borel spaces. We establish the dynamic programming algorithm in finite and infinity horizon cases. We provide conditions for the existence of measurable selectors. And we show an example of consumption-investment problem. This research was partially supported by the PROMEP grant 103.5/05/40. |
| Keywords: | Markov decision processes Discounted cost Random rate Dynamic programming |
| 本文献已被 SpringerLink 等数据库收录！ | |