IDEAS home Printed from https://ideas.repec.org/a/eee/ejores/v240y2015i3p697-705.html
   My bibliography  Save this article

Solving average cost Markov decision processes by means of a two-phase time aggregation algorithm

Author

Listed:
  • Arruda, E.F.
  • Fragoso, M.D.

Abstract

This paper introduces a two-phase approach to solve average cost Markov decision processes, which is based on state space embedding or time aggregation. In the first phase, time aggregation is applied for policy optimization in a prescribed subset of the state space, and a novel result is applied to expand the evaluation to the whole state space. This evaluation is then used in the second phase in a policy improvement step, and the two phases are then alternated until convergence is attained. Some numerical experiments illustrate the results.

Suggested Citation

  • Arruda, E.F. & Fragoso, M.D., 2015. "Solving average cost Markov decision processes by means of a two-phase time aggregation algorithm," European Journal of Operational Research, Elsevier, vol. 240(3), pages 697-705.
    • Handle: RePEc:eee:ejores:v:240:y:2015:i:3:p:697-705
    DOI: 10.1016/j.ejor.2014.08.023
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0377221714006584
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.ejor.2014.08.023?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Arruda, E.F. & do Val, J.B.R., 2008. "Stability and optimality of a multi-product production and storage system under demand uncertainty," European Journal of Operational Research, Elsevier, vol. 188(2), pages 406-427, July.
    2. Arruda, Edilson F. & Ourique, Fabrício O. & LaCombe, Jason & Almudevar, Anthony, 2013. "Accelerating the convergence of value iteration by using partial transition functions," European Journal of Operational Research, Elsevier, vol. 229(1), pages 190-198.
    3. Zhang, Jiaqi & Archibald, Thomas W., 2011. "A semi-Markov model with holdout transshipment policy and phase-type exponential lead time," European Journal of Operational Research, Elsevier, vol. 211(3), pages 650-657, June.
    4. Arruda, E.F. & Fragoso, M.D. & do Val, J.B.R., 2011. "Approximate dynamic programming via direct search in the space of value function approximations," European Journal of Operational Research, Elsevier, vol. 211(2), pages 343-351, June.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Arruda, Edilson F. & Ourique, Fabrício O. & LaCombe, Jason & Almudevar, Anthony, 2013. "Accelerating the convergence of value iteration by using partial transition functions," European Journal of Operational Research, Elsevier, vol. 229(1), pages 190-198.
    2. Barron, Yonit, 2022. "The continuous (S,s,Se) inventory model with dual sourcing and emergency orders," European Journal of Operational Research, Elsevier, vol. 301(1), pages 18-38.
    3. Olsson, Fredrik, 2015. "Emergency lateral transshipments in a two-location inventory system with positive transshipment leadtimes," European Journal of Operational Research, Elsevier, vol. 242(2), pages 424-433.
    4. Chakravorty, Satya S., 2009. "Improving distribution operations: Implementation of material handling systems," International Journal of Production Economics, Elsevier, vol. 122(1), pages 89-106, November.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ejores:v:240:y:2015:i:3:p:697-705. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/eor .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.