Eventually-stationary policies for markov decision models with non-constant discounting

Yair Carmon, Adam Shwartz*

*Corresponding author for this work

Research output: Contribution to conferencePaperpeer-review

Abstract

We investigate the existance of simple policies in finite discounted cost Markov Decision Processes, when the discount factor is not constant. We introduce a class called "exponentially representable" discount functions. Within this class we prove existence of optimal policies which are eventually stationary-from some time N onward, and provide an algorithm for their computation. Outside this class, optimal policies with this structure in general do not exist.

Original languageEnglish
DOIs
StatePublished - 2008
Externally publishedYes
Event3rd International Conference on Performance Evaluation Methodologies and Tools, VALUETOOLS 2008 - Athens, Greece
Duration: 20 Oct 200824 Oct 2008

Conference

Conference3rd International Conference on Performance Evaluation Methodologies and Tools, VALUETOOLS 2008
Country/TerritoryGreece
CityAthens
Period20/10/0824/10/08

Keywords

  • Discounted cost
  • General discounting function
  • Hyperbolic discounting
  • Markov decision processes
  • Mixed discounting

Fingerprint

Dive into the research topics of 'Eventually-stationary policies for markov decision models with non-constant discounting'. Together they form a unique fingerprint.

Cite this