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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