3 papers
math.OC2023
Approximate Constrained Discounted Dynamic Programming with Uniform Feasibility and Optimality
Hyeong Soo Chang
We consider a dynamic programming (DP) approach to approximately solving an infinite-horizon constrained Markov decision process (CMDP) problem with a fixed initial-state for the e…
math.OC2021
On-line Policy Iteration with Policy Switching for Markov Decision Processes
Hyeong Soo Chang
Motivated from Bertsekas' recent study on policy iteration (PI) for solving the problems of infinite-horizon discounted Markov decision processes (MDPs) in an on-line setting, we d…
math.OC2014
Sleeping Experts and Bandits Approach to Constrained Markov Decision Processes
Hyeong Soo Chang
This brief paper presents simple simulation-based algorithms for obtaining an approximately optimal policy in a given finite set in large finite constrained Markov decision process…