Singularly perturbed linear programs and Markov decision processes

Konstantin Avrachenkov, Jerzy Filar, Vladimir Gaitsgory, Andrew Stillman

    Research output: Contribution to journalArticlepeer-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 languageEnglish
    Pages (from-to)297-301
    Number of pages5
    JournalOperations Research Letters
    Volume44
    Issue number3
    DOIs
    Publication statusPublished - 2016

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