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Singularly perturbed linear programs and Markov decision processes

Abstract : Linear programming formulations for the discounted and long-run average MDPs have evolved along separate trajectories. In 2006, E. Altman conjectured that the two linear programming formulations of discounted and long-run average MDPs are, most likely, a manifestation of general properties of singularly perturbed linear programs. In this note we demonstrate that this is, indeed, the case.
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https://hal.inria.fr/hal-01399403
Contributor : Konstantin Avrachenkov Connect in order to contact the contributor
Submitted on : Monday, November 21, 2016 - 2:23:19 PM
Last modification on : Friday, July 8, 2022 - 10:05:52 AM
Long-term archiving on: : Tuesday, March 21, 2017 - 5:59:01 AM

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Konstantin Avrachenkov, Jerzy A Filar, Vladimir G Gaitsgory, Andrew Stillman. Singularly perturbed linear programs and Markov decision processes. Operations Research Letters, Elsevier, 2016, 44 (3), pp.297 - 301. ⟨10.1016/j.orl.2016.02.005⟩. ⟨hal-01399403⟩

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