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Constrained dynamic programming with two discount factors: applications and an algorithm

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2 Author(s)
E. A. Feinberg ; W.A. Harriman Sch. for Manage. & Policy, State Univ. of New York, Stony Brook, NY, USA ; A. Shwartz

We consider a discrete time Markov decision process, where the objectives are linear combinations of standard discounted rewards, each with a different discount factor. We describe several applications that motivate the recent interest in these criteria. For the special case where a standard discounted cost is to be minimized, subject to a constraint on another standard discounted cost but with a different discount factor, we provide an implementable algorithm for computing an optimal policy

Published in:

IEEE Transactions on Automatic Control  (Volume:44 ,  Issue: 3 )