Markov decision processes with exponentially representable discounting

Yair Carmon, Adam Shwartz*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

16 Scopus citations

Abstract

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.

Original languageEnglish
Pages (from-to)51-55
Number of pages5
JournalOperations Research Letters
Volume37
Issue number1
DOIs
StatePublished - Jan 2009
Externally publishedYes

Funding

FundersFunder number
Technion-Israel Institute of Technology

    Keywords

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

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