For infinite time MDPs, we cannot apply to induction on Bellman’s equation from some initial state – like we could for finite time MDP. So we need some algorithms to solve MDPs.
Category: Stochastic Control 2019
Markov Chains: A Quick Review
This section is intended as a brief introductory recap of Markov chains. A much fuller explanation and introduction is provided in standard texts e.g. Norris, Bremaud, or Levin & Peres (see references below).
Infinite Time Horizon
Thus far we have considered finite time Markov decision processes. We now want to solve MDPs of the form 
Markov Decision Processes
Markov decision processes are essentially the randomized equivalent of a dynamic program.
Dynamic Programming
We briefly explain the principles behind dynamic programming and then give its definition.
Notes for Stochastic Control 2019
The link below contains notes PDF for this years stochastic control course
I’ll upload individual posts for each section. I’ll likely update these notes and add more exercises over the coming semester. I’ll add this update in a further post at the end of the course. Comments, typos, suggestions are always welcome.
