COMPUTING (G,W)-OPTIMAL POLICIES IN DISCRETE AND CONTINUOUS MARKOV PROGRAMS,

Abstract

The study shows how to compute policies that maximize a certain reasonable criterion (i.e., policies that are (g,w)-optimal) for the undiscounted infinite-horizon versions of two Markov decision problems--one a discrete-time model and the other a continuous-time model. The approach used is to parse the overall problem into at most three smaller problems that can be solved in sequence by the methods of linear programming or policy iteration. (Author)

Document Details

Document Type
Technical Report
Publication Date
Jan 01, 1968
Accession Number
AD0664323

Entities

People

  • Eric V. Denardo

Organizations

  • RAND Corporation

Tags

DTIC Thesaurus Topics

  • Applied Mathematics
  • Computer Programming
  • Computing-Related Activities
  • Convex Programming
  • Interdisciplinary Science
  • Iterations
  • Linear Programming
  • Mathematical Analysis
  • Mathematical Programming
  • Mathematics
  • Numerical Analysis
  • Sequences

Readers

  • Mathematical Modeling and Probability Theory.