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Markov Decision Processes with Exogenous Variables

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  • Robert L. Bray

    (Kellogg School of Management, Northwestern University, Evanston, Illinois 60208-0814)

Abstract

I present two algorithms for solving dynamic programs with exogenous variables: endogenous value iteration and endogenous policy iteration. These algorithms are always at least as fast as relative value iteration and relative policy iteration, and they are faster when the endogenous variables converge to their stationary distributions sooner than the exogenous variables.

Suggested Citation

  • Robert L. Bray, 2019. "Markov Decision Processes with Exogenous Variables," Management Science, INFORMS, vol. 65(10), pages 4598-4606, October.
    • Handle: RePEc:inm:ormnsc:v:65:y:2019:i:10:p:4598-4606
    DOI: 10.1287/mnsc.2018.3158
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    References listed on IDEAS

    as
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