Discounted semi-Markov decision processes : linear programming and policy iteration

J. Wessels, J.A.E.E. van Nunen

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Abstract

For semi-Markov decision processes with discounted rewards we derive the well known results regarding the structure of optimal strategies (nonrandomized, stationary Markov strategies) and the standard algorithms (linear programming, policy iteration). Our analysis is completely based on a primal linear programming formulation of the problem.
Original languageEnglish
Place of PublicationEindhoven
PublisherTechnische Hogeschool Eindhoven
Number of pages9
Publication statusPublished - 1974

Publication series

NameMemorandum COSOR
Volume7401
ISSN (Print)0926-4493

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    Wessels, J., & van Nunen, J. A. E. E. (1974). Discounted semi-Markov decision processes : linear programming and policy iteration. (Memorandum COSOR; Vol. 7401). Technische Hogeschool Eindhoven.