IDEAS home Printed from https://ideas.repec.org/a/inm/ormnsc/v19y1972i4-part-1p389-390.html
   My bibliography  Save this article

Constrained Markov Decision Chains

Author

Listed:
  • Cyrus Derman

    (Columbia University)

  • Arthur F. Veinott, Jr.

    (Stanford University)

Abstract

We consider finite state and action discrete time parameter Markov decision chains. The objective is to provide an algorithm for finding a policy that minimizes the long-run expected average cost when there are linear side conditions on the limit points of the expected state-action frequencies. This problem has been solved previously only for the case where every deterministic stationary policy has at most one ergodic class. This note removes that restriction by applying the Dantzig-Wolfe decomposition principle.

Suggested Citation

  • Cyrus Derman & Arthur F. Veinott, Jr., 1972. "Constrained Markov Decision Chains," Management Science, INFORMS, vol. 19(4-Part-1), pages 389-390, December.
    • Handle: RePEc:inm:ormnsc:v:19:y:1972:i:4-part-1:p:389-390
    DOI: 10.1287/mnsc.19.4.389
    as

    Download full text from publisher

    File URL: http://dx.doi.org/10.1287/mnsc.19.4.389
    Download Restriction: no
    File URL: https://libkey.io/10.1287/mnsc.19.4.389?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
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Michael Katehakis & Ingram Olkin & Sheldon Ross & Jian Yang, 2013. "On the life and work of Cyrus Derman," Annals of Operations Research, Springer, vol. 208(1), pages 5-26, September.
    2. Nielsen, Lars Relund & Kristensen, Anders Ringgaard, 2006. "Finding the K best policies in a finite-horizon Markov decision process," European Journal of Operational Research, Elsevier, vol. 175(2), pages 1164-1179, December.

    More about this item

    Statistics

    Access and download statistics

    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:inm:ormnsc:v:19:y:1972:i:4-part-1:p:389-390. 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.

    We have no bibliographic references for this item. You can help adding them by using 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: Chris Asher (email available below). General contact details of provider: https://edirc.repec.org/data/inforea.html .

    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.