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Linear and Dynamic Programming in Markov Chains

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  • Yoav Kislev
  • Amotz Amiad

Abstract

Some essential elements of the Markov chain theory are reviewed, along with programming of economic models which incorporate Markovian matrices and whose objective function is the maximization of the present value of an infinite stream of income. The linear programming solution to these models is presented and compared to the dynamic programming solution. Several properties of the solution are analyzed and it is shown that the elements of the simplex tableau contain information relevant to the understanding of the programmed system. It is also shown that the model can be extended to cover, among other elements, multiprocess enterprises and the realistic cases of programming in the face of probable deterioration of the productive capacity of the system or its total destruction.

Suggested Citation

  • Yoav Kislev & Amotz Amiad, 1968. "Linear and Dynamic Programming in Markov Chains," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 50(1), pages 111-129.
    • Handle: RePEc:oup:ajagec:v:50:y:1968:i:1:p:111-129.
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    File URL: http://hdl.handle.net/10.2307/1237875
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    Cited by:

    1. Talpaz, Hovav, 1982. "Multiperiod Optimization: Dynamic Programming Vs. Optimal Control: Discussion," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 7(2), pages 1-6, December.
    2. Vourazeris, Kelsey & Manfredo, Mark R. & Kozicki, Michael N., 2024. "Value of Information of Improved Traceability in the Fresh Produce Industry," 2024 Annual Meeting, July 28-30, New Orleans, LA 343643, Agricultural and Applied Economics Association.

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