Singularly perturbed linear programs and Markov decision processes

Konstantin Avrachenkov; Jerzy A. Filar; Vladimir Gaitsgory; Andrew Stillman

doi:10.1016/j.orl.2016.02.005

Singularly perturbed linear programs and Markov decision processes

Konstantin Avrachenkov^*, Jerzy A. Filar, Vladimir Gaitsgory, Andrew Stillman

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

Abstract

Linear programming formulations for the discounted and long-run average MDPs have evolved along separate trajectories. In 2006, E. Altman conjectured that the two linear programming formulations of discounted and long-run average MDPs are, most likely, a manifestation of general properties of singularly perturbed linear programs. In this note we demonstrate that this is, indeed, the case.

Original language	English
Pages (from-to)	297-301
Number of pages	5
Journal	Operations Research Letters
Volume	44
Issue number	3
DOIs	https://doi.org/10.1016/j.orl.2016.02.005
Publication status	Published - 1 May 2016

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abstract = "Linear programming formulations for the discounted and long-run average MDPs have evolved along separate trajectories. In 2006, E. Altman conjectured that the two linear programming formulations of discounted and long-run average MDPs are, most likely, a manifestation of general properties of singularly perturbed linear programs. In this note we demonstrate that this is, indeed, the case.",

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