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December, 1972 Markov Decision Processes with a New Optimality Criterion: Small Interest Rates
Stratton C. Jaquette
Ann. Math. Statist. 43(6): 1894-1901 (December, 1972). DOI: 10.1214/aoms/1177690860

Abstract

Finite state and action discrete time Markov decision processes with discounting are considered under the criterion of moment optimality. The case of small interest rates is studied, in particular the behavior of optimal policies as the interest rate approaches zero. Laurent expansions in the interest rate are developed for all moments of return for stationary policies, and a proof is given that there is a stationary policy which is moment optimal for all sufficiently small interest rates.

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Stratton C. Jaquette. "Markov Decision Processes with a New Optimality Criterion: Small Interest Rates." Ann. Math. Statist. 43 (6) 1894 - 1901, December, 1972. https://doi.org/10.1214/aoms/1177690860

Information

Published: December, 1972
First available in Project Euclid: 27 April 2007

zbMATH: 0255.60063
MathSciNet: MR351394
Digital Object Identifier: 10.1214/aoms/1177690860

Rights: Copyright © 1972 Institute of Mathematical Statistics

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Vol.43 • No. 6 • December, 1972
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