Geodesic
Markov decision processes with arbitrary real-valued criteria
Teoriâ veroâtnostej i ee primeneniâ, Tome 27 (1982) no. 3, pp. 456-473

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We consider discrete time infinite horizon non-stationary Markov decision models with Borel state and action spaces. A criterion is a real-valued function defined on the space of strategic measures. We obtain general results and then use them to study the following criterions and their combinations: the expected total reward criterion, the expected utility criterion, the expected average criterion, the asymptotic reward criterion. 
@article{TVP_1982_27_3_a4,
     author = {E. A. Faǐnberg},
     title = {Markov decision processes with arbitrary real-valued criteria},
     journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
     pages = {456--473},
     publisher = {mathdoc},
     volume = {27},
     number = {3},
     year = {1982},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/TVP_1982_27_3_a4/}
}
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E. A. Faǐnberg. Markov decision processes with arbitrary real-valued criteria. Teoriâ veroâtnostej i ee primeneniâ, Tome 27 (1982) no. 3, pp. 456-473. http://geodesic.mathdoc.fr/item/TVP_1982_27_3_a4/