A Stopping Rule for Forecasting Horizons in Nonhomogeneous Markov Decision Processes

James C. Bean, Wallace J. Hopp and Izak Duenyas
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James C. Bean: The University of Michigan, Ann Arbor, Michigan
Wallace J. Hopp: Northwestern University, Evanston, Illinois
Izak Duenyas: The University of Michigan, Ann Arbor, Michigan

Operations Research, 1992, vol. 40, issue 6, 1188-1199

Abstract: We formulate a mixed integer program to determine whether a finite time horizon is a forecast horizon in a nonhomogeneous Markov decision process. We give a Bender's decomposition approach to solving this problem that evaluates the stopping rule, eliminates some suboptimal combinations of actions, and yields bounds on the maximum error that could result from the selection of a candidate action in the initial stage. The integer program arising from the decomposition has special properties that allow efficient solution. We illustrate the approach with numerical examples.

Keywords: dynamic programming/optimal control: Markov; finite states; solving nonhomogeneous problems; programming; integer: Bender's decomposition; applications to forecast horizons (search for similar items in EconPapers)
Date: 1992
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