Technical Note—Identifying Forecast Horizons in Nonhomogeneous Markov Decision Processes

Wallace J. Hopp
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Wallace J. Hopp: Northwestern University, Evanston, Illinois

Operations Research, 1989, vol. 37, issue 2, 339-343

Abstract: A procedure for identifying forecast horizons in nonhomogeneous Markov decision processes, based on convergence results for relative value functions, is developed. Two different algorithmic implementations of this procedure are discussed, and a closed form expression for computing sufficiently long horizons to guarantee epsilon optimality is presented.

Keywords: dynamic programming; Markov finite state: nonhomogeneous Markov decision processes; programming; infinite dimensional: infinite horizon optimization (search for similar items in EconPapers)
Date: 1989
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Citations: View citations in EconPapers (3)

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