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

Eugene A. Feinberg

doi:10.1109/9.751365

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

1999-03-01

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Eugene A. Feinberg

Adam Shwartz

DOI：10.1109/9.751365

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Abstract

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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 cast but with a different discount factor, we provide an implementable algorithm for computing an optimal policy.

Keywords:

algorithm

application

discounting

dynamic programming

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