Saddle-Point Type Optimality Criteria And Dualities In Fractional Markov Decision Processes With Constraints
JOURNAL OF INFORMATION & OPTIMIZATION SCIENCES（2019）
Abstract
In our paper we introduce a generalized fractional Markov decision process with constraints. By using the concepts of the Lagrangian function and the duality theory in the generalized nonlinear fractional programming, we develop the saddle point optimality theory and the duality theory.
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Key words
Markov decision process, Fractional reward, Lagrangian function, Duality, Saddle point
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