The value functions of Markov decision processes

It is known that the value function of a Markov decision process, as a function of the discount factor λ, is the maximum of finitely many rational functions in λ. Moreover, each root of the denominators of the rational functions either lies outside the unit ball in the complex plane, or is a unit root with multiplicity 1. We prove the converse of this result, namely, every function that is the maximum of finitely many rational functions in λ, satisfying the property that each root of the denominators of the rational functions either lies outside the unit ball in the complex plane, or is a unit root with multiplicity 1, is the value function of some Markov decision process. We thereby provide a characterization of the set of value functions of Markov decision processes.