Automatica, Vol.36, No.5, 771-774, 2000
A unified approach to Markov decision problems and performance sensitivity analysis
We propose a simple approach that provides a unified formulation for the performance sensitivity analysis of Markov chains and Markov decision problems with both infinite horizon average-cost and discounted performance criteria.
Keywords:discounted Poisson equations;alpha-potentials;discounted Lyapunov equations;perturbation analysis