A utility criterion for the Markov decision process
James Norfleet Eagle, Stanford University. Engineering-Economic Systems Dept, James Norfleet Eagle (II), Stanford University. Engineering-Economic Systems Dept. Program in Health Care Systems Analysis, National Institutes of Health (U.S.).
Dept. of Engineering-Economic Systems, 1975 - Markov processes - 190 pages
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INTRODUCTION AND SUMMARY OF RESULTS
THE FINITE HORIZON CONSUMPTION MODEL
THE FINITE HORIZON MARKOV PROCESS
6 other sections not shown
action and consumption action decision rule argmax U(C assume Banker-Broker criterion Banker-Broker procedure calculated Chapter compute consumption decision rules consumption model consumption of commodities continuous and monotone defined Definition delayed resolution demonstrate discount factor Dreze dynamic lottery dynamic programming recursion example expected utility expected value exponential utility function feasible domain Finite Horizon Markov function for consumption function for wealth Infinite Horizon Consumption isotone lifetime consumption m c m+1 m i m-1 m-1 m n Markov decision process MARKOV PROCESS maximization monotone increasing notation optimal action decision optimal consumption decision optimal stationary policies orthant periods remain policy improvement algorithm Pollard positive fixed point preferences probability mass function Proof remain until termination risk neutral Section set of optimal stationary action policies Table C.2 Theorem 4.2 tion transition turnpike uniformly continuous utility of lifetime value of continuing vector wealth level