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A general markov decision method I: Model and techniques

Published online by Cambridge University Press:  01 July 2016

G. De Leve ,
A. Federgruen  and
H. C. Tijms
G. De Leve
Affiliation:
Mathematisch Centrum, Amsterdam
A. Federgruen
Affiliation:
Mathematisch Centrum, Amsterdam
H. C. Tijms
Affiliation:
Mathematisch Centrum, Amsterdam
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Abstract

This paper provides a new approach for solving a wide class of Markov decision problems including problems in which the space is general and the system can be continuously controlled. The optimality criterion is the long-run average cost per unit time. We decompose the decision processes into a common underlying stochastic process and a sequence of interventions so that the decision processes can be embedded upon a reduced set of states. Consequently, in the policy-iteration algorithm resulting from this approach the number of equations to be solved in any iteration step can be substantially reduced. Further, by its flexibility, this algorithm allows us to exploit any structure of the particular problem to be solved.

Keywords

MARKOV DECISION PROBLEMGENERAL STATE-SPACECONTINUOUS CONTROLAVERAGE COST CRITERIONEMBEDDED DECISION PROCESSESPOLICY-ITERATION ALGORITHM
Type
Research Article
Information
Advances in Applied Probability , Volume 9 , Issue 2 , June 1977 , pp. 296 - 315
Copyright
Copyright © Applied Probability Trust 1977 

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