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Continuity of the Value of Competitive Markov Decision Processes |
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| Authors: | Eilon Solan |
| Institution: | (1) Department of Managerial Economics and Decision Sciences, Kellogg School of Management, Northwestern University, 2001 Sheridan Road, Evanston, Illinois, 60208-2001;(2) School of Mathematical Sciences, Tel Aviv University, Tel Aviv, 69978, Israel |
| Abstract: | We provide a bound for the variation of the function that assigns to every competitive Markov decision process and every discount factor its discounted value. This bound implies that the undiscounted value of a competitive Markov decision process is continuous in the relative interior of the space of transition rules. |
| Keywords: | competitive Markov decision process stochastic games value sensitivity analysis |
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