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Question 1-A decision maker observes a discrete-time system which moves between states 1s1,s2, S3,s4 according to the following transition probability matrix: 0.3 0.4 0.2 0.1
Question 1-A decision maker observes a discrete-time system which moves between states 1s1,s2, S3,s4 according to the following transition probability matrix: 0.3 0.4 0.2 0.1 0.2 0.3 0.50.0 0.1 0.0 0.8 0.1 0.4 0.0 0.0 0.6 At each point in time, the decision maker may leave the system and receive a reward of R = 20 units, or alternatively remain in the system and receive a reward of r (si) units i the system occupies state si. If the decision maker decides to remain in the system its state at the next decision epoch is determined by matrix P. Assume a discount rate of 0.9 and that r(si)i a) Formulate this model as an MDP. b) Use both policy iteration and linear programming to find a stationary policy which minimizes the expected total discounted reward. compare the results, and report the optimal policy and the optimal value function for both methods. Find the smallest value of R so that it is optimal to leave the system in state 2 c)
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