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Computing a Bias-Optimal Policy in a Discrete-Time Markov Decision Problem

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  • Eric V. Denardo

    (Yale University, New Haven, Connecticut)

Abstract

This paper treats a discrete-time Markov decision model with an infinite planning horizon and no discounting. A “bias-optimal” policy for this decision problem satisfies a criterion that is more selective than maximizing the gain rate. The problem of computing a bias-optimal policy, also treated by Veinott in 1966, is here parsed into a sequence of three simple Markov decision problems, each of which can be solved by linear programming or policy iteration.

Suggested Citation

  • Eric V. Denardo, 1970. "Computing a Bias-Optimal Policy in a Discrete-Time Markov Decision Problem," Operations Research, INFORMS, vol. 18(2), pages 279-289, April.
    • Handle: RePEc:inm:oropre:v:18:y:1970:i:2:p:279-289
    DOI: 10.1287/opre.18.2.279
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