DocumentCode :
1483212
Title :
Constrained dynamic programming with two discount factors: applications and an algorithm
Author :
Feinberg, Eugene A. ; Shwartz, Adam
Author_Institution :
W.A. Harriman Sch. for Manage. & Policy, State Univ. of New York, Stony Brook, NY, USA
Volume :
44
Issue :
3
fYear :
1999
fDate :
3/1/1999 12:00:00 AM
Firstpage :
628
Lastpage :
631
Abstract :
We consider a discrete time Markov decision process, where the objectives are linear combinations of standard discounted rewards, each with a different discount factor. We describe several applications that motivate the recent interest in these criteria. For the special case where a standard discounted cost is to be minimized, subject to a constraint on another standard discounted cost but with a different discount factor, we provide an implementable algorithm for computing an optimal policy
Keywords :
Markov processes; constraint theory; decision theory; dynamic programming; minimisation; constrained dynamic programming; discount factors; discrete time Markov decision process; optimal policy; standard discounted rewards; Computer performance; Cost function; Dynamic programming; Electronic mail; Heuristic algorithms; Power system management; Random access memory; Read-write memory; Space technology; Stochastic processes;
fLanguage :
English
Journal_Title :
Automatic Control, IEEE Transactions on
Publisher :
ieee
ISSN :
0018-9286
Type :
jour
DOI :
10.1109/9.751365
Filename :
751365
Link To Document :
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