Successive Approximations for Finite Horizon, Semi-Markov Decision Processes with Application to Asset Liquidation

John W. Mamer
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John W. Mamer: University of California, Los Angeles, Los Angeles, California

Operations Research, 1986, vol. 34, issue 4, 638-644

Abstract: This paper presents a simple successive approximation approach to the characterization of optimal policies for finite horizon, semi-Markov decision processes. Optimal policies are nonstationary, for in this setting they depend on both time and state. We illustrate this approach by analyzing the optimal liquidation of an asset; we also show that several aspects of the standard, discrete-time, infinite horizon optimal policy carry over to the continuous-time, finite horizon policy.

Keywords: 112 optimal asset liquidation; 118 finite horizon; continuous-time semi-Markov decision process (search for similar items in EconPapers)
Date: 1986
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Persistent link: https://EconPapers.repec.org/RePEc:inm:oropre:v:34:y:1986:i:4:p:638-644

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