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Computation techniques for large scale undiscounted markov decision processes

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  • Thom J. Hodgson
  • Gary J. Koehler

Abstract

In this paper we consider computation techniques associated with the optimization of large scale Markov decision processes. Markov decision processes and the successive approximation procedure of White are described. Then a procedure for scaling continuous time and renewal processes so that they are amenable to the White procedure is discussed. The effect of the scale factor value on the convergence rate of the procedure and insights into proper scale factor selection are given.

Suggested Citation

  • Thom J. Hodgson & Gary J. Koehler, 1979. "Computation techniques for large scale undiscounted markov decision processes," Naval Research Logistics Quarterly, John Wiley & Sons, vol. 26(4), pages 587-594, December.
    • Handle: RePEc:wly:navlog:v:26:y:1979:i:4:p:587-594
    DOI: 10.1002/nav.3800260404
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