Linear Programming and Markov Decision Chains

In this paper we show that for a finite Markov decision process an average optimal policy can be found by solving only one linear programming problem. Also the relation between the set of feasible solutions of the linear program and the set of stationary policies is analyzed.

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Year of publication:	1979
Authors:	Hordijk, A. ; Kallenberg, L. C. M.
Published in:	Management Science. - Institute for Operations Research and the Management Sciences - INFORMS, ISSN 0025-1909. - Vol. 25.1979, 4, p. 352-362
Publisher:	Institute for Operations Research and the Management Sciences - INFORMS
Subject:	dynamic programming: Markov \| finite stage \| programming: infinite horizon

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Extent:	application/pdf
Type of publication:	Article
Other identifiers:	10.1287/mnsc.25.4.352 [DOI]
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009214133