PARTIALLY OBSERVABLE MARKOV DECISION PROCESSES WITH PARTIALLY OBSERVABLE RANDOM DISCOUNT FACTORS

E. Everardo Martinez-Garcia; J. Adolfo Minjárez-Sosa; Oscar Vega-Amaya

doi:10.14736/kyb-2022-6-0960

PARTIALLY OBSERVABLE MARKOV DECISION PROCESSES WITH PARTIALLY OBSERVABLE RANDOM DISCOUNT FACTORS

E. Everardo Martinez-Garcia, J. Adolfo Minjárez-Sosa, Oscar Vega-Amaya

Research output: Contribution to journal › Article › peer-review

Abstract

This paper deals with a class of partially observable discounted Markov decision processes defined on Borel state and action spaces, under unbounded one-stage cost. The discount rate is a stochastic process evolving according to a difference equation, which is also assumed to be partially observable. Introducing a suitable control model and filtering processes, we prove the existence of optimal control policies. In addition, we illustrate our results in a class of GI/GI/1 queueing systems where we obtain explicitly the corresponding optimality equation and the filtering process.

Original language	English
Pages (from-to)	960-983
Number of pages	24
Journal	Kybernetika
Volume	58
Issue number	6
DOIs	https://doi.org/10.14736/kyb-2022-6-0960
State	Published - 2022

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© 2022 Institute of Information Theory and Automation of The Czech Academy of Sciences. All rights reserved.

Keywords

discounted criterion
optimal policies
partially observable systems
queueing models
random discount factors

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10.14736/kyb-2022-6-0960

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AB - This paper deals with a class of partially observable discounted Markov decision processes defined on Borel state and action spaces, under unbounded one-stage cost. The discount rate is a stochastic process evolving according to a difference equation, which is also assumed to be partially observable. Introducing a suitable control model and filtering processes, we prove the existence of optimal control policies. In addition, we illustrate our results in a class of GI/GI/1 queueing systems where we obtain explicitly the corresponding optimality equation and the filtering process.

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PARTIALLY OBSERVABLE MARKOV DECISION PROCESSES WITH PARTIALLY OBSERVABLE RANDOM DISCOUNT FACTORS

Abstract

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Keywords

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