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Partially observable Markov decision processes with partially observable random discount factors
Kybernetika, Tome 58 (2022) no. 6, pp. 960-983 Cet article a éte moissonné depuis la source Czech Digital Mathematics Library

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This paper deals with a class of partially observable discounted Markov decision processes defined on Borel state and action spaces, under unbounded one-stage cost. The discount rate is a stochastic process evolving according to a difference equation, which is also assumed to be partially observable. Introducing a suitable control model and filtering processes, we prove the existence of optimal control policies. In addition, we illustrate our results in a class of GI/GI/1 queueing systems where we obtain explicitly the corresponding optimality equation and the filtering process.
This paper deals with a class of partially observable discounted Markov decision processes defined on Borel state and action spaces, under unbounded one-stage cost. The discount rate is a stochastic process evolving according to a difference equation, which is also assumed to be partially observable. Introducing a suitable control model and filtering processes, we prove the existence of optimal control policies. In addition, we illustrate our results in a class of GI/GI/1 queueing systems where we obtain explicitly the corresponding optimality equation and the filtering process.
DOI : 10.14736/kyb-2022-6-0960
Classification : 90B22, 90C39
Keywords: partially observable systems; discounted criterion; random discount factors; queueing models; optimal policies 
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     author = {Martinez-Garcia, E. Everardo and Minj\'arez-Sosa, J. Adolfo and Vega-Amaya, Oscar},
     title = {Partially observable {Markov} decision processes with partially observable random discount factors},
     journal = {Kybernetika},
     pages = {960--983},
     year = {2022},
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     number = {6},
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     zbl = {07655866},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.14736/kyb-2022-6-0960/}
}
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Martinez-Garcia, E. Everardo; Minjárez-Sosa, J. Adolfo; Vega-Amaya, Oscar. Partially observable Markov decision processes with partially observable random discount factors. Kybernetika, Tome 58 (2022) no. 6, pp. 960-983. doi: 10.14736/kyb-2022-6-0960

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