Reformulation of the linear program for completely ergodic MDPs with average cost criteria.
Vahid HashemiPublished in: Optim. Lett. (2017)
Keyphrases
- average cost
- linear program
- linear programming
- approximate dynamic programming
- semi infinite
- markov decision processes
- finite horizon
- markov decision chains
- optimal solution
- markov chain
- initial state
- column generation
- objective function
- dynamic programming
- finite state
- stochastic programming
- long run
- interior point methods
- np hard
- optimal control
- stationary distribution
- finite number
- mixed integer
- multi criteria
- action sets
- mixed integer linear program
- markov decision problems
- integer program
- quadratic program
- machine learning
- optimal policy
- policy iteration
- markov decision process
- semidefinite programming
- infinite horizon