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Finite Horizon Markov Decision Processes with Uncertain Terminal Payoffs

Author

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  • D. J. White

    (University of Virginia, Charlottesville, Virginia)

Abstract

This paper deals with the problem of finding an estimate of the maximal loss of optimality which can arise when terminal payoffs are uncertain and policies are restricted in some way. The original non-convex optimization problem is converted to a sequence of sub-problems involving the maximization of a bilinear function over a convex region. The paper deals solely with the theoretical issues.

Suggested Citation

  • D. J. White, 1995. "Finite Horizon Markov Decision Processes with Uncertain Terminal Payoffs," Operations Research, INFORMS, vol. 43(5), pages 862-869, October.
    • Handle: RePEc:inm:oropre:v:43:y:1995:i:5:p:862-869
    DOI: 10.1287/opre.43.5.862
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    Citations

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    Cited by:

    1. Huang, Yonghui & Guo, Xianping, 2011. "Finite horizon semi-Markov decision processes with application to maintenance systems," European Journal of Operational Research, Elsevier, vol. 212(1), pages 131-140, July.
    2. White, D.J., 1998. "Epsilon-dominating solutions in mean-variance portfolio analysis," European Journal of Operational Research, Elsevier, vol. 105(3), pages 457-466, March.
    3. White, D. J., 1996. "The maximization of a function over the efficient set via a penalty function approach," European Journal of Operational Research, Elsevier, vol. 94(1), pages 143-153, October.

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