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On Bellman's principle with inequality constraints
Published 14 Nov 2011 in math.OC, cs.SY, and math.PR | (1111.3271v1)
Abstract: We consider an example by Haviv (1996) of a constrained Markov decision process that, in some sense, violates Bellman's principle. We resolve this issue by showing how to preserve a form of Bellman's principle that accounts for a change of constraint at states that are reachable from the initial state.
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