Linear Programming Solutions for Separable Markovian Decision Problems

Guy T. de Ghellinck and Gary D. Eppen
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Guy T. de Ghellinck: University of Louvain, Louvain, Belgium
Gary D. Eppen: University of Chicago

Management Science, 1967, vol. 13, issue 5, 371-394

Abstract: This paper is concerned with the linear programming solutions to sequential decision (or control) problems in which the stochastic element is Markovian and in which the objective is to minimize the discounted sum of expected costs when a discount factor \lambda, 0 \leqq \lambda 2 ) of variables than the usual formulation of these problems. Two well-known example problems are solved to illustrate the wide applicability and the utility of these results.

Date: 1967
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Persistent link: https://EconPapers.repec.org/RePEc:inm:ormnsc:v:13:y:1967:i:5:p:371-394

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