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On the existence of relative values for undiscounted multichain Markov decision processes
Authors:Paul J Schweitzer
Institution:The Graduate School of Management, The University of Rochester, Rochester, New York 14627 USA
Abstract:The coupled functional equations of undiscounted multichain semi-Markovian decision processes are shown to possess a solution by converting the value equation into the form v = maxw(?) + Π(?)v; ? ? S] ≡ Qv where S is the set of maximal-gain policies and w(?) is the bias vector associated with policy ?. An elementary proof then shows that the operator Q possesses a fixed point.
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