On stopping a Markov decision process

L.P.J. Groenewegen

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Abstract

In this report the same situation will be considered as in Hordijk, Dynamic programrrdng and Markov potential theory [3], viz. a countable state space Markov decision process which can be stopped. Costs have the so-called charge structure and the optimality criterion is the total expected gain. It will be shown, that an optimal strategy, consisting of a memoryless decision rule and a possibly nonmemoryless stopping rule, can be replaced by a strategy consisting of the same decision rule and a stopping rule which is an entry time.
Original languageEnglish
Place of PublicationEindhoven
PublisherTechnische Hogeschool Eindhoven
Number of pages12
Publication statusPublished - 1975

Publication series

NameMemorandum COSOR
Volume7501
ISSN (Print)0926-4493

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  • Cite this

    Groenewegen, L. P. J. (1975). On stopping a Markov decision process. (Memorandum COSOR; Vol. 7501). Technische Hogeschool Eindhoven.