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Discrete-time control with non-constant discount factor

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dc.contributor.authorJasso Fuentes, Héctor
dc.contributor.authorMenaldi, José Luis
dc.contributor.authorPrieto Rumeau, Tomás
dc.date.accessioned2024-11-08T08:29:07Z
dc.date.available2024-11-08T08:29:07Z
dc.date.issued2020-06-20
dc.description.abstractThis paper deals with discrete-time Markov decision processes (MDPs) with Borel state and action spaces, and total expected discounted cost optimality criterion. We assume that the discount factor is not constant: it may depend on the state and action; moreover, it can even take the extreme values zero or one. We propose sufficient conditions on the data of the model ensuring the existence of optimal control policies and allowing the characterization of the optimal value function as a solution to the dynamic programming equation. As a particular case of these MDPs with varying discount factor, we study MDPs with stopping, as well as the corresponding optimal stopping times and contact set. We show applications to switching MDPs models and, in particular, we study a pollution accumulation problem.en
dc.description.versionVersión final
dc.identifier.citationJasso-Fuentes, H., Menaldi, JL. & Prieto-Rumeau, T. Discrete-time control with non-constant discount factor. Math Meth Oper Res 92, 377–399 (2020). https://link.springer.com/article/10.1007/s00186-020-00716-8 https://doi.org/10.1007/s00186-020-00716-8
dc.identifier.doihttps://doi.org/10.1007/s00186-020-00716-8
dc.identifier.issn1432-2994; e-ISSN: 1432-5217
dc.identifier.urihttps://hdl.handle.net/20.500.14468/24308
dc.journal.titleMathematical Methods of Operations Research
dc.journal.volume92
dc.language.isoen
dc.page.final399
dc.page.initial377
dc.publisherSpringer Nature
dc.relation.centerFacultades y escuelas::Facultad de Ciencias
dc.relation.departmentEstadística, Investigación Operativa y Cálculo Numérico
dc.rightsinfo:eu-repo/semantics/openAccess
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/deed.es
dc.subject12 Matemáticas
dc.subject12 Matemáticas::1209 Estadística
dc.subject53 Ciencias Económicas::5311 Organización y dirección de empresas ::5311.07 Investigación operativa
dc.subject.keywordsMarkov decision processesen
dc.subject.keywordsdynamic programmingen
dc.subject.keywordsoptimal stopping problemsen
dc.titleDiscrete-time control with non-constant discount factoren
dc.typeartículoes
dc.typejournal articleen
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relation.isAuthorOfPublication.latestForDiscovery6f28d560-9dfd-4c43-ac89-b1064aedac5c
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