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Journal Articles Operations Research Letters Year : 2016

Singularly perturbed linear programs and Markov decision processes

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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Dates and versions

hal-01399403 , version 1 (21-11-2016)

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Konstantin Avrachenkov, Jerzy A Filar, Vladimir G Gaitsgory, Andrew Stillman. Singularly perturbed linear programs and Markov decision processes. Operations Research Letters, 2016, 44 (3), pp.297 - 301. ⟨10.1016/j.orl.2016.02.005⟩. ⟨hal-01399403⟩
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