Wu, Xiao; Tang, Yanqiu Constrained optimality problem of Markov decision processes with Borel spaces and varying discount factors. (English) Zbl 07396268 Kybernetika 57, No. 2, 295-311 (2021). Summary: This paper focuses on the constrained optimality of discrete-time Markov decision processes (DTMDPs) with state-dependent discount factors, Borel state and compact Borel action spaces, and possibly unbounded costs. By means of the properties of so-called occupation measures of policies and the technique of transforming the original constrained optimality problem of DTMDPs into a convex program one, we prove the existence of an optimal randomized stationary policies under reasonable conditions. MSC: 90C40 Markov and semi-Markov decision processes 60J27 Continuous-time Markov processes on discrete state spaces Keywords:constrained optimality problem; discrete-time Markov decision processes; Borel state and action spaces; varying discount factors; unbounded costs PDF BibTeX XML Cite \textit{X. Wu} and \textit{Y. Tang}, Kybernetika 57, No. 2, 295--311 (2021; Zbl 07396268) Full Text: DOI OpenURL