Awi Federgruen

Variational characterizations in Markov decision processes

Coauthor(s): Paul Schweitzer.

Abstract:
Most quantities of interest in discounted and undiscounted (semi-) Markov decision processes can be obtained by solving a system of functional equations. This paper derives bounds and variational characterizations for the solutions of such systems. These are useful for at least three reasons: (1) in any solution procedure the upper and lower bounds can be used to measure the deviation of the current solution from optimality; (2) this in turn may permit elimination of suboptimal actions; and (3) the variational characterizations suggest numerical algorithms (linear programming, policy iteration algorithms, successive approximation schemes).

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