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Results tagged with oc.optimization-and-control
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user 11768
Operations research, linear programming, control theory, systems theory, optimal control, game theory
1
vote
Maximal probability of "infinitely often" over MDP
Just for the sake of the question having an answer, the following paper by A. Maitra and W. Sudderth gives a very nice characterization of the value function for the i.o. event in the framework of gam …
- 1,655
2
votes
1
answer
117
views
Maximal probability of "infinitely often" over MDP
Let us consider a Markov Decision Process (MDP) with a Borel state space $X$. Often, the optimization problems over MDP involve optimization of some objectives dependent on the reward function
$$
r: …
- 1,655
4
votes
0
answers
115
views
Sufficiency of stationary policy for negative stochastic dynamic programming
Consider a Markov Decision Process with Borel state space $X$ and Borel action space $U$, like the one defined in the book "Stochastic Optimal Control: Discrete-time case" by Bertsekas and Shreve. All …
- 1,655
2
votes
Accepted
Upper bound concerning Snell envelope
I think it is just a sequence of much stronger inequalities that goes as follows. All the inequalities below are $\Bbb P$-a.s.
Let $\tau\in \mathcal T_{t,T}$ be an arbitrary stopping time, then
$$
…
- 1,655