Linear programming in tector criterion markov and semi-Markov decision processes

Abstract

Optimality problems in infinite horizon, discrete time, vector criterion Markov and semi-Markov decision processes are expressed as standard problems of multiobjective linear programming. Processes with discounting, absorbing processes and completely ergodie processes without discounting are investigated. The common properties and special structure of derived multiobjective linear programming problems are overviewed. Computational simplicities associated with these problems in comparison with general multiobjective linear programming problems are discussed. Methods for solving these problems are overviewed and simple numerical examples are given.

Keywords:

• Markov decision processes
• semi-markov decision processes
• multiobjective linear programming
• infinite horizon processes

AMS 1980 Subject Classification:

• Primary:90 C 40
• Secondary:90 B 50