Aggregation-disaggregation algorithm for e2-singularly perturbed limiting average Markov control problems
Filar, Jerzy A
Institute of Electrical and Electronic Engineers
In this paper we consider a singular perturbation of order 2 for a Markov decision process with the limiting average reward criterion. We define a singular perturbation of order 2 in the following sense: we assume that the underlying process is composed of n separate irreducible processes, and that a small e-perturbation is such that it ”unites” these processes into m separate irreducible processes. Then another small e2-perturbation is such that it “unites” these latter processes into a single irreducible process. The present paper is organized as follows: In Section 2, we formulate the singular perturbation of order 2. In Section 3, we give explicitly the limit Markov Control Problem (limit MCP), that is entirely different from the original unperturbed MDP, which forms an appropriate asymptotic approximation to a whole family of perturbed problems. Thus only the single limit MCP needs to be solved.
Mathematics, Markov Decision Processes
Abbad, M. and Filar, J.A., 1991. Aggregation-disaggregation algorithm for e2-singularly perturbed limiting average Markov control problems. Proceedings of the 30th IEEE Conference on Decision and Control, vol. 1, 465-470.