The Shift-Function Approach for Markov Decision Processes with Unbounded Returns.

Abstract : We study a discrete-time Markov decision process with general state and action space. The objective is to maximize the expected total return over a finite or infinite horizon. The transition probability measure is allowed to be defective, so that the model includes discounting, state-and action-dependent transition times (semi-Markov decision processes), and stopping problems. With applications to control of queues and inventory systems as a motivation, we develop a set of conditions on the one-period return function, the transition probabilities and the terminal value function that guarantee uniform convergence (with respect to the sup norm) of the finite-horizon optimal value functions to the infinite-horizon optimal value function (successive approximations). These conditions are substantially weaker and more realistic for the applications we have in mind than those of the classical, discounted bounded model. (Author)