Solution of continuous‐time markovian decision models using infinite linear programming

Prasadarao Kakumanu

Naval Research Logistics Quarterly, 1978, vol. 25, issue 3, 431-443

Abstract: Infinite‐horizon, countable‐state, continuous‐time Markovian decision models are solved by formulating as a pair of infinite linear‐programming problems. Expected discounted and average returns are considered as criterion functions. For both criterion functions, the existence of deterministic optimal stationary policies is established by solving the associated infinite linear‐programming problems. Computational procedures for finite state and action sets are discussed by considering associated finite linear‐programming problems.

Date: 1978
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Persistent link: https://EconPapers.repec.org/RePEc:wly:navlog:v:25:y:1978:i:3:p:431-443

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