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Extreme-point solutions in Markov decision processes
Published online by Cambridge University Press: 14 July 2016
Abstract
The paper presents sufficient conditions for certain functions to be convex. Functions of this type often appear in Markov decision processes, where their maximum is the solution of the problem. Since a convex function takes its maximum at an extreme point, the conditions may greatly simplify a problem. In some cases a full solution may be obtained after the reduction is made. Some illustrative examples are discussed.
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- Copyright © Applied Probability Trust 1983
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