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Technical Note—Identifying Forecast Horizons in Nonhomogeneous Markov Decision Processes

Author

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  • Wallace J. Hopp

    (Northwestern University, Evanston, Illinois)

Abstract

A procedure for identifying forecast horizons in nonhomogeneous Markov decision processes, based on convergence results for relative value functions, is developed. Two different algorithmic implementations of this procedure are discussed, and a closed form expression for computing sufficiently long horizons to guarantee epsilon optimality is presented.

Suggested Citation

  • Wallace J. Hopp, 1989. "Technical Note—Identifying Forecast Horizons in Nonhomogeneous Markov Decision Processes," Operations Research, INFORMS, vol. 37(2), pages 339-343, April.
    • Handle: RePEc:inm:oropre:v:37:y:1989:i:2:p:339-343
    DOI: 10.1287/opre.37.2.339
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    Citations

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    Cited by:

    1. Torpong Cheevaprawatdomrong & Irwin E. Schochetman & Robert L. Smith & Alfredo Garcia, 2007. "Solution and Forecast Horizons for Infinite-Horizon Nonhomogeneous Markov Decision Processes," Mathematics of Operations Research, INFORMS, vol. 32(1), pages 51-72, February.
    2. Archis Ghate & Robert L. Smith, 2013. "A Linear Programming Approach to Nonstationary Infinite-Horizon Markov Decision Processes," Operations Research, INFORMS, vol. 61(2), pages 413-425, April.
    3. Wallace J. Hopp & Suresh K. Nair, 1991. "Timing replacement decisions under discontinuous technological change," Naval Research Logistics (NRL), John Wiley & Sons, vol. 38(2), pages 203-220, April.

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