Myopic Solutions of Homogeneous Sequential Decision Processes

Matthew J. Sobel () and Wei Wei ()
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Matthew J. Sobel: Department of Operations, Weatherhead School of Management, Case Western Reserve University, Cleveland, Ohio 44106
Wei Wei: Department of Operations, Weatherhead School of Management, Case Western Reserve University, Cleveland, Ohio 44106

Operations Research, 2010, vol. 58, issue 4-part-2, 1235-1246

Abstract: An optimum of a Markov decision process (MDP) is myopic if it can be obtained by solving a series of static problems. Myopic optima are desirable because they can be computed relatively easily. We identify new classes of MDPs with myopic optima and sequential games with myopic equilibrium points. In one of the classes, the single-period reward is homogeneous with respect to the state variable. We illustrate the results with models of revenue management and investment.

Keywords: myopic; dynamic program; Markov decision process; homogeneous; sequential game (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (3)

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