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Journal ArticleDOI

Lipschitz Continuity of Value Functions in Markovian Decision Processes

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TLDR
Tools and guidelines for investigating Lipschitz continuity of the value functions in MDP’s, using the Hausdorff metric and the Kantorovich metric for measuring the influence of the constraint set and the transition law, respectively are presented.
Abstract
We present tools and guidelines for investigating Lipschitz continuity of the value functions in MDP’s, using the Hausdorff metric and the Kantorovich metric for measuring the influence of the constraint set and the transition law, respectively. The methods are explained by examples. Additional topics include an application to the the discretization algorithm of Bertsekas (1975).

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Journal ArticleDOI

Finite Linear Programming Approximations of Constrained Discounted Markov Decision Processes

TL;DR: This work proposes a finite state approximation of the linear programming formulation of the constrained MDP to a finite-dimensional static optimization problem that can be used to obtain explicit numerical approximations of the corresponding optimal constrained cost.
References
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Book

Real and abstract analysis

TL;DR: The first € price and the £ and $ price are net prices, subject to local VAT, and the €(D) includes 7% for Germany, the€(A) includes 10% for Austria.
Book

Real analysis and probability

TL;DR: This book discusses set theory, vector spaces, and Taylor's theorem with remainder, as well as general topology, measurement, and differentiation, and introduces probability theory.
Journal ArticleDOI

Integral Probability Metrics and Their Generating Classes of Functions

TL;DR: A unified study of integral probability metrics of the following type are given and how some interesting properties of these probability metrics arise directly from conditions on the generating class of functions is shown.
Book ChapterDOI

Controlled Markov Processes

TL;DR: This chapter introduces the stochastic control processes, also known as Markov decision processes or Markov dynamic programs, and discusses (briefly) more general control systems, such as non-stationary CMP’s and semi-Markov control models.