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Solution of continuous-time markovian decision models using infinite linear programming

✍ Scribed by Prasadarao Kakumanu

Publisher: John Wiley and Sons
Year: 1978
Tongue: English
Weight: 680 KB
Volume: 25
Category: Article
ISSN: 0894-069X
DOI: 10.1002/nav.3800250306

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✦ Synopsis

Abstract

Infinite‐horizon, countable‐state, continuous‐time Markovian decision models are solved by formulating as a pair of infinite linear‐programming problems. Expected discounted and average returns are considered as criterion functions. For both criterion functions, the existence of deterministic optimal stationary policies is established by solving the associated infinite linear‐programming problems. Computational procedures for finite state and action sets are discussed by considering associated finite linear‐programming problems.

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