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Decision Roll and Horizon Roll Processes in Infinite Horizon Discounted Markov Decision Processes

Author

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  • D. J. White

    (School of Engineering and Applied Sciences, University of Virginia, Charlottesville, Virginia 22903)

Abstract

In this paper we look at some aspects of infinite horizon Markov decision processes in which information regarding parameter values is restricted to a finite time horizon, and in which decisions are based upon the finite horizon data but are recomputed as we move forward in time and gain knowledge of later parametric values. A general framework is given. Bounds on the loss of optimality arising from two planning horizon decision processes are given, and the choice of decision process and planning horizon is examined.

Suggested Citation

  • D. J. White, 1996. "Decision Roll and Horizon Roll Processes in Infinite Horizon Discounted Markov Decision Processes," Management Science, INFORMS, vol. 42(1), pages 37-50, January.
    • Handle: RePEc:inm:ormnsc:v:42:y:1996:i:1:p:37-50
    DOI: 10.1287/mnsc.42.1.37
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    Cited by:

    1. Archis Ghate & Dushyant Sharma & Robert L. Smith, 2010. "A Shadow Simplex Method for Infinite Linear Programs," Operations Research, INFORMS, vol. 58(4-part-1), pages 865-877, August.
    2. Ryan, Sarah M., 1998. "Forecast frequency in rolling horizon hedging heuristics for capacity expansion," European Journal of Operational Research, Elsevier, vol. 109(3), pages 550-558, September.
    3. Suresh Chand & Vernon Ning Hsu & Suresh Sethi, 2002. "Forecast, Solution, and Rolling Horizons in Operations Management Problems: A Classified Bibliography," Manufacturing & Service Operations Management, INFORMS, vol. 4(1), pages 25-43, September.

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