Markov Decision Processes with Exogenous Variables

Robert L. Bray ()
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Robert L. Bray: Kellogg School of Management, Northwestern University, Evanston, Illinois 60208-0814

Management Science, 2019, vol. 65, issue 10, 4598-4606

Abstract: I present two algorithms for solving dynamic programs with exogenous variables: endogenous value iteration and endogenous policy iteration. These algorithms are always at least as fast as relative value iteration and relative policy iteration, and they are faster when the endogenous variables converge to their stationary distributions sooner than the exogenous variables.

Keywords: Markov decision process; dynamic programming; endogenous value iteration; relative value iteration; exogenous variables (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:inm:ormnsc:v:65:y:2019:i:10:p:4598-4606

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