A New Specification of the Multichain Policy Iteration Algorithm in Undiscounted Markov Renewal Programs

We consider the Policy Iteration Algorithm for undiscounted Markov Renewal Programs. Previous specifications of the policy evaluation part of this algorithm all required the analysis of the chain structure for each policy generated. The purpose of this paper is to provide a unique specification of the value vectors as well as an anticycling rule which avoids parsing the transition probability matrices into their subchains.

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Year of publication:	1980
Authors:	Federgruen, A. ; Spreen, D.
Published in:	Management Science. - Institute for Operations Research and the Management Sciences - INFORMS, ISSN 0025-1909. - Vol. 26.1980, 12, p. 1211-1217
Publisher:	Institute for Operations Research and the Management Sciences - INFORMS
Subject:	dynamic programming: Markov \| finite state \| dynamic programming: semi-Markov

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Extent:	application/pdf
Type of publication:	Article
Other identifiers:	10.1287/mnsc.26.12.1211 [DOI]
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009208584