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Markov decision processes with state-dependent discount factors and unbounded rewards/costs. (English) Zbl 1235.90178

Summary: This paper deals with discrete-time Markov decision processes with state-dependent discount factors and unbounded rewards/costs. Under general conditions, we develop an iteration algorithm for computing the optimal value function, and also prove the existence of optimal stationary policies. Furthermore, we illustrate our results with a cash-balance model.

MSC:

90C40 Markov and semi-Markov decision processes
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