Blackwell Optimality in Markov Decision Processes with Partial Observation


Dinah Rosenberg, Eilon Solan and Nicolas Vieille


The Annals of Statistics 30 (2002).


A Blackwell e-optimal strategy in a Markov Decision Process is a strategy that is e-optimal for every discount factor sufficiently close to 1.


We prove the existence of Blackwell e-optimal strategies in finite Markov Decision Processes with partial observation. Extensions to more general cases are also provided.