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On Linear Programming in a Markov Decision Problem

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  • Eric V. Denardo

    (Yale University)

Abstract

This paper treats a Markov decision problem with an infinite planning horizon and no discounting. This model is analyzed by application, perhaps repeated, of a simple linear program.

Suggested Citation

  • Eric V. Denardo, 1970. "On Linear Programming in a Markov Decision Problem," Management Science, INFORMS, vol. 16(5), pages 281-288, January.
    • Handle: RePEc:inm:ormnsc:v:16:y:1970:i:5:p:281-288
    DOI: 10.1287/mnsc.16.5.281
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    Cited by:

    1. Lodewijk Kallenberg, 2013. "Derman’s book as inspiration: some results on LP for MDPs," Annals of Operations Research, Springer, vol. 208(1), pages 63-94, September.
    2. B. Curtis Eaves & Arthur F. Veinott, 2014. "Maximum-Stopping-Value Policies in Finite Markov Population Decision Chains," Mathematics of Operations Research, INFORMS, vol. 39(3), pages 597-606, August.
    3. D. P. de Farias & B. Van Roy, 2003. "The Linear Programming Approach to Approximate Dynamic Programming," Operations Research, INFORMS, vol. 51(6), pages 850-865, December.
    4. Guillot, Matthieu & Stauffer, Gautier, 2020. "The Stochastic Shortest Path Problem: A polyhedral combinatorics perspective," European Journal of Operational Research, Elsevier, vol. 285(1), pages 148-158.
    5. K. Helmes & R. H. Stockbridge, 2000. "Numerical Comparison of Controls and Verification of Optimality for Stochastic Control Problems," Journal of Optimization Theory and Applications, Springer, vol. 106(1), pages 107-127, July.
    6. Michael O’Sullivan & Arthur F. Veinott, Jr., 2017. "Polynomial-Time Computation of Strong and n -Present-Value Optimal Policies in Markov Decision Chains," Mathematics of Operations Research, INFORMS, vol. 42(3), pages 577-598, August.
    7. Roberto Steri, 2015. "Collateral-Based Asset Pricing," 2015 Meeting Papers 293, Society for Economic Dynamics.
    8. Dmitry Krass & O. J. Vrieze, 2002. "Achieving Target State-Action Frequencies in Multichain Average-Reward Markov Decision Processes," Mathematics of Operations Research, INFORMS, vol. 27(3), pages 545-566, August.

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