Linear Programming and Markov Decision Chains

A. Hordijk and L. C. M. Kallenberg
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A. Hordijk: University of Leiden, The Netherlands
L. C. M. Kallenberg: University of Leiden, The Netherlands

Management Science, 1979, vol. 25, issue 4, 352-362

Abstract: In this paper we show that for a finite Markov decision process an average optimal policy can be found by solving only one linear programming problem. Also the relation between the set of feasible solutions of the linear program and the set of stationary policies is analyzed.

Keywords: dynamic programming: Markov; finite stage; programming: infinite horizon (search for similar items in EconPapers)
Date: 1979
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Citations: View citations in EconPapers (15)

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Persistent link: https://EconPapers.repec.org/RePEc:inm:ormnsc:v:25:y:1979:i:4:p:352-362

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