Monotonically improving limit-optimal strategies in finite-state decision processes

T.P. Hill, J. Wal, van der

Research output: Contribution to journalArticleAcademicpeer-review

Abstract

In every finite-state leavable gambling problem and in every finite-state Markov decision process with discounted, negative or positive reward criteria there exists a Markov strategy which is monotonically improving and optimal in the limit along every history. An example is given to show that for the positive and gambling cases such strategies cannot be constructed by simply switching to a "better" action or gamble at each successive return to a state.
Original languageEnglish
Pages (from-to)463-473
Number of pages11
JournalMathematics of Operations Research
Volume12
Issue number3
DOIs
Publication statusPublished - 1987

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