Automatica, Vol.44, No.6, 1480-1487, 2008
Exact finite approximations of average-cost countable Markov decision processes
For a countable-state Markov decision process we introduce an embedding which produces a finite-state Markov decision process. The finite-state embedded process has the same optimal cost, and moreover, it has the same dynamics as the original process when restricting to the approximating set. The embedded process can be used as an approximation which, being finite, is more convenient for computation and implementation. (c) 2008 Published by Elsevier Ltd.
Keywords:Markov decision processes;countable-state space;finite approximations;average-cost criterion