On Bellman’s principle with inequality constraints |
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| Authors: | Edwin KP Chong Scott A Miller |
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| Institution: | a Colorado State University, 1373 Campus Delivery, Fort Collins, CO 80523, USAb Numerica Corporation, 4850 Hahns Peak Drive, Suite 200, Loveland, CO 80538, USA |
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| Abstract: | We consider an example by Haviv (1996) 10] of a constrained Markov decision process that, in some sense, violates Bellman’s principle. We resolve this issue by showing how to preserve a form of Bellman’s principle that accounts for a change of constraint at states that are reachable from the initial state. |
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| Keywords: | Markov decision processes Constrained optimization Bellman Time consistency |
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