Computing a Bias-Optimal Policy in a Discrete-Time Markov Decision Problem

Eric V. Denardo
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Eric V. Denardo: Yale University, New Haven, Connecticut

Operations Research, 1970, vol. 18, issue 2, 279-289

Abstract: This paper treats a discrete-time Markov decision model with an infinite planning horizon and no discounting. A “bias-optimal” policy for this decision problem satisfies a criterion that is more selective than maximizing the gain rate. The problem of computing a bias-optimal policy, also treated by Veinott in 1966, is here parsed into a sequence of three simple Markov decision problems, each of which can be solved by linear programming or policy iteration.

Date: 1970
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Persistent link: https://EconPapers.repec.org/RePEc:inm:oropre:v:18:y:1970:i:2:p:279-289

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