Embedding a state space model into a Markov decision process

Lars Relund Nielsen (), Erik Jørgensen and Søren Højsgaard

Annals of Operations Research, 2011, vol. 190, issue 1, 289-309

Abstract: In agriculture Markov decision processes (MDPs) with finite state and action space are often used to model sequential decision making over time. For instance, states in the process represent possible levels of traits of the animal and transition probabilities are based on biological models estimated from data collected from the animal or herd. State space models (SSMs) are a general tool for modeling repeated measurements over time where the model parameters can evolve dynamically. In this paper we consider methods for embedding an SSM into an MDP with finite state and action space. Different ways of discretizing an SSM are discussed and methods for reducing the state space of the MDP are presented. An example from dairy production is given. Copyright Springer Science+Business Media, LLC 2011

Keywords: State space model; Markov decision process; Sequential decision making; Stochastic dynamic programming (search for similar items in EconPapers)
Date: 2011
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DOI: 10.1007/s10479-010-0688-z

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