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Article dans une revue SIAM Journal on Control and Optimization Année : 2016

Strong Uniform Value in Gambling Houses and Partially Observable Markov Decision Processes

Résumé

In several standard models of dynamic programming (gambling houses, MDPs, POMDPs), we prove the existence of a robust notion of value for the infinitely repeated problem, namely the strong uniform value. This solves two open problems. First, this shows that for any > 0, the decision-maker has a pure strategy σ which is-optimal in any n-stage problem, provided that n is big enough (this result was only known for behavior strategies, that is, strategies which use randomization). Second, for any > 0, the decision-maker can guarantee the limit of the n-stage value minus in the infinite problem where the payoff is the expectation of the inferior limit of the time average payoff.
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Dates et versions

hal-01395429, version 1 (10-11-2016)

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Xavier Venel, Bruno Ziliotto. Strong Uniform Value in Gambling Houses and Partially Observable Markov Decision Processes. SIAM Journal on Control and Optimization, 2016, 54 (4), pp.1983-2008. ⟨10.1137/15M1043340⟩. ⟨hal-01395429⟩

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