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A new policy iteration scheme for Markov decision processes using Schweitzer's formula

Part of: Markov processes

Published online by Cambridge University Press:  14 July 2016

J. B. Lasserre
J. B. Lasserre*
Affiliation:
Laboratoire d'Automatique et d'Analyse des Systèmes du CNRS, Toulouse
*
∗ Postal address: Laboratoire d'Automatique et d'Analyse des Systèmes du CNRS, 7, Avenue du Colonel Roche, 31077 Toulouse Cedex, France.
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Abstract

Given a family of Markov chains with a single recurrent class, we present a potential application of Schweitzer's exact formula relating the steady-state probability and fundamental matrices of any two chains in the family. We propose a new policy iteration scheme for Markov decision processes where in contrast to policy iteration, the new criterion for selecting an action ensures the maximal one-step average cost improvement. Its computational complexity and storage requirement are analysed.

Keywords

FINITE-STATE MARKOV CHAINSSTEADY-STATE PROBABILITIESFUNDAMENTAL MATRIXPOLICY ITERATIONPERTURBATION THEORY OF MARKOV CHAINS

MSC classification

Primary: 60J10: Markov chains (discrete-time Markov processes on discrete state spaces)
Type
Short Communications
Information
Journal of Applied Probability , Volume 31 , Issue 1 , March 1994 , pp. 268 - 273
Copyright
Copyright © Applied Probability Trust 1994 

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