Monotonicity in a Markov Decision Process

Concavity of optimal costs and monotonicity of optimal actions are established for a Markov decision problem in which state space and action space are ordered, but in which the cost functions do not possess properties commonly used to establish monotonicity. The proof is elementary, but depends heav...

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Veröffentlicht in:	Mathematics of operations research 1988-02, Vol.13 (1), p.65-73
1. Verfasser:	Pittenger, A. O
Format:	Artikel
Sprache:	eng
Schlagworte:	Applied sciences Concavity Cost efficiency Cost functions Decision making models Dynamic programming Exact sciences and technology Integers Markov analysis Markov decision problem Markov decision process Markov processes Mathematical analysis Mathematical monotonicity Mathematical programming monotone optimal policies Operational research and scientific management Operational research. Management science Operations research Optimal policy
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Zusammenfassung:	Concavity of optimal costs and monotonicity of optimal actions are established for a Markov decision problem in which state space and action space are ordered, but in which the cost functions do not possess properties commonly used to establish monotonicity. The proof is elementary, but depends heavily on the binomial character of the transition probabilities.
ISSN:	0364-765X 1526-5471
DOI:	10.1287/moor.13.1.65