<abstract xml:lang="en" xmlns="http://www.w3.org/1999/xhtml"><p>In this article the killed Markov decision processes for countable models on finite time interval are considered. The existence of a uniform ε-optimal policy is proved. The correctness of the fundamental equation is shown. The optimal control problem is reduced to a similar problem for derived model. Also, the optimality equation and method for simple optimal policies constructing is received. A sufficient condition of simple policies for countable models is proved. The correctness of the Markovian property is shown. Additionally dynamic programming principle is considered.</p></abstract>

In this article the killed Markov decision processes for countable models on finite time interval are considered. The existence of a uniform ε-optimal policy is proved. The correctness of the fundamental equation is shown. The optimal control problem is reduced to a similar problem for derived model. Also, the optimality equation and method for simple optimal policies constructing is received. A sufficient condition of simple policies for countable models is proved. The correctness of the Markovian property is shown. Additionally dynamic programming principle is considered.

Killed Markov Decision Processes for Countable Models for Crash Function Assessment

Faculty of Management and Administration, University of Humanities and Natural Sciences, Świętokrzyska 21, 25-406 Kielce

Folia Oeconomica Stetinensia

In this article the killed Markov decision processes for countable models on finite time interval are considered. The existence of a uniform ε-optimal policy...

Killed Markov Decision Processes for Countable Models for Crash Function Assessment

Publié en ligne: 21 mars 2011

Pages: 99 - 112

DOI: https://doi.org/10.2478/v10031-009-0003-9

Mots clés
economic system, Markov chains, Markov decision processes, killed Markov decision processes, risk factor, bankruptcy, countable model, derived model, assessment of policy, assessment of process, e-optimal policy, dynamic programming

This content is open access.

Killed Markov Decision Processes for Countable Models for Crash Function Assessment

Publié en ligne: 21 mars 2011

Pages: 99 - 112

DOI: https://doi.org/10.2478/v10031-009-0003-9

Mots cléseconomic system, Markov chains, Markov decision processes, killed Markov decision processes, risk factor, bankruptcy, countable model, derived model, assessment of policy, assessment of process, e-optimal policy, dynamic programming

This content is open access.

Mots clés
economic system, Markov chains, Markov decision processes, killed Markov decision processes, risk factor, bankruptcy, countable model, derived model, assessment of policy, assessment of process, e-optimal policy, dynamic programming