On Bellman's principle with inequality constraints
classification
🧮 math.OC
cs.SYmath.PR
keywords
bellmanprincipleaccountschangeconsiderconstrainedconstraintconstraints
read the original 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.
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