Geodesic
Constrained optimality problem of Markov decision processes with Borel spaces and varying discount factors
Kybernetika, Tome 57 (2021) no. 2, pp. 295-311.

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This paper focuses on the constrained optimality of discrete-time Markov decision processes (DTMDPs) with state-dependent discount factors, Borel state and compact Borel action spaces, and possibly unbounded costs. By means of the properties of so-called occupation measures of policies and the technique of transforming the original constrained optimality problem of DTMDPs into a convex program one, we prove the existence of an optimal randomized stationary policies under reasonable conditions.
DOI : 10.14736/kyb-2021-2-0295
Classification : 60J27, 90C40
Keywords: constrained optimality problem; discrete-time Markov decision processes; Borel state and action spaces; varying discount factors; unbounded costs 
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     title = {Constrained optimality problem of {Markov} decision processes with {Borel} spaces and varying discount factors},
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Wu, Xiao; Tang, Yanqiu. Constrained optimality problem of Markov decision processes with Borel spaces and varying discount factors. Kybernetika, Tome 57 (2021) no. 2, pp. 295-311. doi : 10.14736/kyb-2021-2-0295. http://geodesic.mathdoc.fr/articles/10.14736/kyb-2021-2-0295/

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