Some Remarks on Finite Horizon Markovian Decision Models
Cyrus Derman and
Morton Klein
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Cyrus Derman: Columbia University
Morton Klein: Columbia University
Operations Research, 1965, vol. 13, issue 2, 272-278
Abstract:
It is shown that finite horizon Markovian decision problems can be handled as linear programming problems. Thus, problems with large numbers of side constraints, which would be difficult to treat by dynamic programming methods, can be handled by linear programming methods. Fixed and random horizon problems are discussed.
Date: 1965
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