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math.OC2020
Stochastic dynamic programming with non-linear discounting
Nicole Bäuerle, Anna Jaśkiewicz, Andrzej S. Nowak
In this paper, we study a Markov decision process with a non-linear discount function and with a Borel state space. We define a recursive discounted utility, which resembles non-ad…
math.OC2018
Constrained discounted Markov decision processes with Borel state spaces
Eugene A. Feinberg, Anna Jaśkiewicz, Andrzej S. Nowak
We study discrete-time discounted constrained Markov decision processes (CMDPs) on Borel spaces with unbounded reward functions. In our approach the transition probability function…