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Reduction of total-cost and average-cost MDPs with weakly continuous transition probabilities to discounted MDPs

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7 Scopus citations

Abstract

This note describes sufficient conditions under which total-cost and average-cost Markov decision processes (MDPs) with general state and action spaces, and with weakly continuous transition probabilities, can be reduced to discounted MDPs. For undiscounted problems, these reductions imply the validity of optimality equations and the existence of stationary optimal policies. The reductions also provide methods for computing optimal policies. The results are applied to a capacitated inventory control problem with fixed costs and lost sales.

Original languageEnglish
Pages (from-to)179-184
Number of pages6
JournalOperations Research Letters
Volume46
Issue number2
DOIs
StatePublished - Mar 2018

Keywords

  • Average cost
  • Discounted
  • Inventory
  • Markov decision process
  • Reduction
  • Total cost

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