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On Finding the Maximal Gain for Markov Decision Processes

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  • Amedeo R. Odoni

    (Massachusetts Institute of Technology, Cambridge, Massachusetts)

Abstract

The method of successive approximations for solving problems on single-chain Markovian decision processes has been investigated by White and Schweitzer. This paper shows that White's scheme not only converges, but also can be modified so that monotonic upper and lower bounds on the maximal gain can be obtained.

Suggested Citation

  • Amedeo R. Odoni, 1969. "On Finding the Maximal Gain for Markov Decision Processes," Operations Research, INFORMS, vol. 17(5), pages 857-860, October.
    • Handle: RePEc:inm:oropre:v:17:y:1969:i:5:p:857-860
    DOI: 10.1287/opre.17.5.857
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    Cited by:

    1. Karel Sladký, 2007. "Stochastic Growth Models With No Discounting [Stochastické růstové modely bez diskontování]," Acta Oeconomica Pragensia, Prague University of Economics and Business, vol. 2007(4), pages 88-98.
    2. Dellaert, N. P. & Melo, M. T., 2003. "Approximate solutions for a stochastic lot-sizing problem with partial customer-order information," European Journal of Operational Research, Elsevier, vol. 150(1), pages 163-180, October.
    3. Dellaert, N. P. & Melo, M. T., 1998. "Make-to-order policies for a stochastic lot-sizing problem using overtime," International Journal of Production Economics, Elsevier, vol. 56(1), pages 79-97, September.
    4. Andreatta, G. & Lulli, G., 2008. "A multi-period TSP with stochastic regular and urgent demands," European Journal of Operational Research, Elsevier, vol. 185(1), pages 122-132, February.
    5. Dellaert, N. P. & Melo, M. T., 1996. "Production strategies for a stochastic lot-sizing problem with constant capacity," European Journal of Operational Research, Elsevier, vol. 92(2), pages 281-301, July.
    6. Raik Özsen & Ulrich W. Thonemann, 2015. "Determining Optimal Parameters for Expediting Policies," Manufacturing & Service Operations Management, INFORMS, vol. 17(1), pages 120-133, February.
    7. Dijk, N.M. van, 1989. "Truncation of Markov decision problems with a queueing network overflow control application," Serie Research Memoranda 0065, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.

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