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Some Remarks on Finite Horizon Markovian Decision Models

Author

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  • Cyrus Derman

    (Columbia University)

  • Morton Klein

    (Columbia University)

Abstract

It is shown that finite horizon Markovian decision problems can be handled as linear programming problems. Thus, problems with large numbers of side constraints, which would be difficult to treat by dynamic programming methods, can be handled by linear programming methods. Fixed and random horizon problems are discussed.

Suggested Citation

  • Cyrus Derman & Morton Klein, 1965. "Some Remarks on Finite Horizon Markovian Decision Models," Operations Research, INFORMS, vol. 13(2), pages 272-278, April.
    • Handle: RePEc:inm:oropre:v:13:y:1965:i:2:p:272-278
    DOI: 10.1287/opre.13.2.272
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    Cited by:

    1. Kumar, Uday M & Bhat, Sanjay P. & Kavitha, Veeraruna & Hemachandra, Nandyala, 2023. "Approximate solutions to constrained risk-sensitive Markov decision processes," European Journal of Operational Research, Elsevier, vol. 310(1), pages 249-267.
    2. Florio, Alexandre M. & Hartl, Richard F. & Minner, Stefan, 2020. "Optimal a priori tour and restocking policy for the single-vehicle routing problem with stochastic demands," European Journal of Operational Research, Elsevier, vol. 285(1), pages 172-182.
    3. 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.
    4. Krishnamurthy Iyer & Nandyala Hemachandra, 2010. "Sensitivity analysis and optimal ultimately stationary deterministic policies in some constrained discounted cost models," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 71(3), pages 401-425, June.
    5. 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.
    6. Mehmet U. S. Ayvaci & Oguzhan Alagoz & Elizabeth S. Burnside, 2012. "The Effect of Budgetary Restrictions on Breast Cancer Diagnostic Decisions," Manufacturing & Service Operations Management, INFORMS, vol. 14(4), pages 600-617, October.

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