Control problems for markov processes with memory

descriptionPublicationkeyboard_double_arrow_right Article 01 May 1998 English Publisher:Springer Science and Business Media LLCJournal:Cybernetics and Systems Analysis, volume 34, pages 368-376 (issn: 1060-0396, eissn: 1573-8337,

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Authors: Knopov, P. S.; Chornej, R. K.;

doi: 10.1007/bf02666978

Control problems for markov processes with memory

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Abstract

The authors consider the dynamic programming problem for Markovian random fields. Using the well-known approach from dynamic programming for Markov chains, he shows the existence of an optimal stationary Markovian policy, which may be computed via linear programming.

Keywords

dynamic programming, Markov and semi-Markov decision processes, existence of an optimal stationary Markovian policy, Optimal stochastic control, linear programming, Markovian random fields

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