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math.OC2019
A Class of Solvable Markov Decision Models with Incomplete Information
Eugene A. Feinberg, Pavlo O. Kasyanov, Michael Z. Zgurovsky
This paper investigates natural conditions for the existence of optimal policies for a Markov decision process with incomplete information (MDPII) and with expected total costs. Th…
math.PR2019★ 5 cited
Fatou's Lemma in Its Classic Form and Lebesgue's Convergence Theorems for Varying Measures with Applications to MDPs
Eugene A. Feinberg, Pavlo O. Kasyanov, Yan Liang
The classic Fatou lemma states that the lower limit of a sequence of integrals of functions is greater or equal than the integral of the lower limit. It is known that Fatou's lemma…