Separable Markovian Decision Problems

Eric V. Denardo
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Eric V. Denardo: The RAND Corporation

Management Science, 1968, vol. 14, issue 7, 451-462

Abstract: The special structure of a class of Markovian decision problems is exploited to simplify the determination of optimum policies. For certain pairs consisting of a state i and decision k, the cost c k i separates (c k i - a i + b k ), while the transition probabilities p k ij and transition time distributions F k ij are independent of i. Equivalence of a second Markovian decision problem which exploits this structure is demonstrated for the discounted and averaging cases. In addition, streamlined approaches are presented for dealing directly with the original problem, and a particular inventory model is further simplified.

Date: 1968
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