Linear Programming in a Markov Chain

Philip Wolfe and G. B. Dantzig
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Philip Wolfe: The Rand Corporation, Santa Monica, California
G. B. Dantzig: The Rand Corporation, Santa Monica, California

Operations Research, 1962, vol. 10, issue 5, 702-710

Abstract: An infinite Markov process with a finite number of states is studied in which the transition probabilities for each state range independently over sets that are either finite or are convex polyhedra. A finite computational procedure is given for choosing those transition probabilities that minimize appropriate functions of the resulting equilibrium probabilities, the procedure is a specialization of the authors' decomposition algorithm for linear programming problems of special structure.

Date: 1962
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