On the Kesten–Spitzer algorithm for minimal hitting time in controlled Markov chains

Abstract

For a Markov chain with optional transitions, except for those to an arbitrary fixed state accessible from all others, Kesten and Spitzer proved the existence of a control policy which minimized the expected time to reach the fixed state and for constructing an optimal policy, proposed an algorithm which works in certain cases. For the algorithm to work they gave a sufficient condition which breaks down if there are countably many states and the minimal hitting time is bounded. We propose a modified algorithm which is shown to work under a weaker sufficient condition. In the bounded case with countably many states, the proposed sufficient condition is not necessary but a similar condition is. In the unbounded case as well as when the state space is finite, the proposed condition is shown to be both necessary and sufficient for the original Kesten–Spitzer algorithm to work. A new iterative algorithm which can be used in all cases is given.