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Absorbing Markov decision processes

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dc.contributor.authorDufour, François
dc.contributor.authorPrieto Rumeau, Tomás
dc.date.accessioned2024-11-08T09:18:59Z
dc.date.available2024-11-08T09:18:59Z
dc.date.issued2024-02-09
dc.description.abstractIn this paper, we study discrete-time absorbing Markov Decision Processes (MDP) with measurable state space and Borel action space with a given initial distribution. For such models, solutions to the characteristic equation that are not occupation measures may exist. Several necessary and sufficient conditions are provided to guarantee that any solution to the characteristic equation is an occupation measure. Under the so-called continuity-compactness conditions, we first show that a measure is precisely an occupation measure if and only if it satisfies the characteristic equation and an additional absolute continuity condition. Secondly, it is shown that the set of occupation measures is compact in the weak-strong topology if and only if the model is uniformly absorbing. Several examples are provided to illustrate our results.en
dc.description.versionversión publicada
dc.identifier.citationAbsorbing Markov decision processes. François Dufour, Tomás Prieto-Rumeau. ESAIM: COCV 30 5 (2024) https://www.esaim-cocv.org/articles/cocv/abs/2024/01/cocv230200/cocv230200.html https://doi.org/10.1051/cocv/2024002
dc.identifier.doihttps://doi.org/10.1051/cocv/2024002
dc.identifier.issn1292-8119 ; e-ISSN: 1262-3377
dc.identifier.urihttps://hdl.handle.net/20.500.14468/24312
dc.journal.issue5
dc.journal.titleESAIM: COCV
dc.journal.volume30
dc.language.isoen
dc.publisherEDP Sciences
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/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.keywordsabsorbing modelen
dc.subject.keywordsoccupation measuresen
dc.subject.keywordscharacteristic equationen
dc.subject.keywordsphantom measuresen
dc.subject.keywordscompactness of the set of occupation measuresen
dc.titleAbsorbing Markov decision processesen
dc.typeartículoes
dc.typejournal articleen
dspace.entity.typePublication
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relation.isAuthorOfPublication.latestForDiscovery6f28d560-9dfd-4c43-ac89-b1064aedac5c
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