Monotonicity in a Markov Decision Process

Published Online:https://doi.org/10.1287/moor.13.1.65

Concavity of optimal costs and monotonicity of optimal actions are established for a Markov decision problem in which state space and action space are ordered, but in which the cost functions do not possess properties commonly used to establish monotonicity. The proof is elementary, but depends heavily on the binomial character of the transition probabilities.

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