Derman’s book as inspiration: some results on LP for MDPs

In 1976 I was looking for a suitable subject for my PhD thesis. My thesis advisor Arie Hordijk and I found a lot of inspiration in Derman’s book (Finite state Markovian decision processes, Academic Press, New York, 1970 ). Since that time I was interested in linear programming methods for Markov dec...

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Bibliographic Details
Published inAnnals of operations research Vol. 208; no. 1; pp. 63 - 94
Main Author Kallenberg, Lodewijk
Format Journal Article
LanguageEnglish
Published Boston Springer US 01.09.2013
Springer
Springer Nature B.V
Subjects
Appointments & personnel changes
Business and Management
Combinatorics
Decision making
Linear programming
Markov analysis
Markov processes
Operations research
Operations Research/Decision Theory
Random variables
Studies
Theory of Computation
Netherlands
Discount Reward
Deterministic Policy
Average Reward
Optimal Policy
Dual Program
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ISSN0254-5330
1572-9338
DOI10.1007/s10479-011-1047-4

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Summary:In 1976 I was looking for a suitable subject for my PhD thesis. My thesis advisor Arie Hordijk and I found a lot of inspiration in Derman’s book (Finite state Markovian decision processes, Academic Press, New York, 1970 ). Since that time I was interested in linear programming methods for Markov decision processes. In this article I will describe some results in this area on the following topics: (1) MDPs with the average reward criterion; (2) additional constraints; (3) applications. These topics are the main elements of Derman’s book.
Bibliography:SourceType-Scholarly Journals-1
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ISSN:0254-5330
1572-9338
DOI:10.1007/s10479-011-1047-4