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MDPs with setwise continuous transition probabilities |
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| Institution: | 1. Department of Applied Mathematics and Statistics, Stony Brook University, Stony Brook, NY 11794-3600, USA;2. Institute for Applied System Analysis, National Technical University of Ukraine “Igor Sikorsky Kyiv Polytechnic Institute”, Peremogy ave., 37a, 03056, Kyiv, Ukraine |
| Abstract: | This paper describes the structure of optimal policies for infinite-state Markov Decision Processes with setwise continuous transition probabilities. The action sets may be noncompact. The objective criteria are either the expected total discounted and undiscounted costs or average costs per unit time. The analysis of optimality equations and inequalities is based on the optimal selection theorem for inf-compact functions introduced in this paper. |
| Keywords: | Markov decision process Total discounted cost Average cost per unit time Optimal selection theorem |
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