On Bellman's principle with inequality constraints
Optimization and Control
2011-11-15 v1 Systems and Control
Probability
Abstract
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.
Cite
@article{arxiv.1111.3271,
title = {On Bellman's principle with inequality constraints},
author = {Edwin K. P. Chong and Scott A. Miller and Jason Adaska},
journal= {arXiv preprint arXiv:1111.3271},
year = {2011}
}