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- Title
PARTIALLY OBSERVABLE MARKOV DECISION PROCESSES WITH PARTIALLY OBSERVABLE RANDOM DISCOUNT FACTORS.
- Authors
MARTINEZ-GARCIA, E. EVERARDO; MINJÁREZ-SOSA, J. ADOLFO; VEGA-AMAYA, OSCAR
- Abstract
This paper deals with a class of partially observable discounted Markov decision processes defined on Borel state and action spaces, under unbounded one-stage cost. The discount rate is a stochastic process evolving according to a difference equation, which is also assumed to be partially observable. Introducing a suitable control model and filtering processes, we prove the existence of optimal control policies. In addition, we illustrate our results in a class of GI/GI/1 queueing systems where we obtain explicitly the corresponding optimality equation and the filtering process.
- Subjects
PARTIALLY observable Markov decision processes; STOCHASTIC processes; DIFFERENCE equations
- Publication
Kybernetika, 2022, Vol 58, Issue 6, p960
- ISSN
0023-5954
- Publication type
Article
- DOI
10.14736/kyb-2022-6-0960