TY - JOUR
T1 - Markov decision processes with exponentially representable discounting
AU - Carmon, Yair
AU - Shwartz, Adam
N1 - Funding Information:
AS holds The Julius M. and Bernice Naiman Chair in Engineering. His research was supported in part by the fund for promotion of research at the Technion, by the fund for promotion of sponsored research at the Technion, and by the B. and I. Green Research Fund.
PY - 2009/1
Y1 - 2009/1
N2 - We generalize the geometric discount of finite discounted cost Markov Decision Processes to "exponentially representable"discount functions, prove existence of optimal policies which are stationary from some time N onward, and provide an algorithm for their computation. Outside this class, optimal "N-stationary" policies in general do not exist.
AB - We generalize the geometric discount of finite discounted cost Markov Decision Processes to "exponentially representable"discount functions, prove existence of optimal policies which are stationary from some time N onward, and provide an algorithm for their computation. Outside this class, optimal "N-stationary" policies in general do not exist.
KW - Discounted cost
KW - General discounting function
KW - Hyperbolic discounting
KW - Markov decision processes
KW - Mixed discounting
UR - http://www.scopus.com/inward/record.url?scp=58049108345&partnerID=8YFLogxK
U2 - 10.1016/j.orl.2008.10.005
DO - 10.1016/j.orl.2008.10.005
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AN - SCOPUS:58049108345
SN - 0167-6377
VL - 37
SP - 51
EP - 55
JO - Operations Research Letters
JF - Operations Research Letters
IS - 1
ER -