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Uniqueness of optimal policies as a generic property of discounted Markov decision processes: Ekeland's variational principle approach
Kybernetika, Tome 52 (2016) no. 1, pp. 66-75 Cet article a éte moissonné depuis la source Czech Digital Mathematics Library

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Many examples in optimization, ranging from Linear Programming to Markov Decision Processes (MDPs), present more than one optimal solution. The study of this non-uniqueness is of great mathematical interest. In this paper the authors show that in a specific family of discounted MDPs, non-uniqueness is a “fragile” property through Ekeland's Principle for each problem with at least two optimal policies; a perturbed model is produced with a unique optimal policy. This result not only supersedes previous papers on the subject, but it also renews the interest in the corresponding questions of well-posedness, genericity and structural stability of MDPs.
Many examples in optimization, ranging from Linear Programming to Markov Decision Processes (MDPs), present more than one optimal solution. The study of this non-uniqueness is of great mathematical interest. In this paper the authors show that in a specific family of discounted MDPs, non-uniqueness is a “fragile” property through Ekeland's Principle for each problem with at least two optimal policies; a perturbed model is produced with a unique optimal policy. This result not only supersedes previous papers on the subject, but it also renews the interest in the corresponding questions of well-posedness, genericity and structural stability of MDPs.
DOI : 10.14736/kyb-2016-1-0066
Classification : 90C40, 93E20
Keywords: discounted Markov decision processes; dynamic programming; unique optimal policy; non-uniqueness of optimal policies; Ekeland's variational principle 
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     title = {Uniqueness of optimal policies as a generic property of discounted {Markov} decision processes: {Ekeland's} variational principle approach},
     journal = {Kybernetika},
     pages = {66--75},
     year = {2016},
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     zbl = {1374.90407},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.14736/kyb-2016-1-0066/}
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Ortega-Gutiérrez, R. Israel; Montes-de-Oca, Raúl; Lemus-Rodríguez, Enrique. Uniqueness of optimal policies as a generic property of discounted Markov decision processes: Ekeland's variational principle approach. Kybernetika, Tome 52 (2016) no. 1, pp. 66-75. doi: 10.14736/kyb-2016-1-0066

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