On Bellman's principle with inequality constraints

Details On Bellman's principle with inequality constraints On Bellman's principle with inequality constraints

2011-11-14

arxiv.org/abs/1111.3271v1

Mathematics

Optimization and Control

Scientific paper

We consider an example by Haviv (1996) of a constrained Markov decision
process that, in some sense, violates Bellman's principle. We resolve this
issue by showing how to preserve a form of Bellman's principle that accounts
for a change of constraint at states that are reachable from the initial state.

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