Constrained optimality problem of Markov decision processes with Borel spaces and varying discount factors. (English) Zbl 07396268

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.


90C40 Markov and semi-Markov decision processes
60J27 Continuous-time Markov processes on discrete state spaces
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