Monotonically improving limit-optimal strategies in finite state decision processes

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

    Research output: Book/ReportReportAcademic

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    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. Key words and phrases: gambling problem, Markov decision process, strategy, stationary strategy, monotonically improving strategy, limit-optimal strategy.
    Original languageEnglish
    Place of PublicationEindhoven
    PublisherTechnische Hogeschool Eindhoven
    Number of pages24
    Publication statusPublished - 1983

    Publication series

    NameMemorandum COSOR
    Volume8415
    ISSN (Print)0926-4493

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