Finite horizon semi-Markov decision processes with multiple constraints

Abstract

Ahstract-This paper focuses on solving a finite horizon semi Markov decision process with multiple constraints. We convert the problem to a constrained absorbing discrete-time Markov decision process and then to an equivalent linear programm over a class of occupancy measures. The existence, characterization and computation of constrained-optimal policies are established under suitable conditions. An example is given to demonstrate our results.Index Terms-Semi-Markov decision processes, expected fi nite horizon reward, occupancy measure, constrained-optimal policy, linear programm.