Derman’s book as inspiration: some results on LP for MDPs

Lodewijk Kallenberg ()

Annals of Operations Research, 2013, vol. 208, issue 1, 63-94

Abstract: In 1976 I was looking for a suitable subject for my PhD thesis. My thesis advisor Arie Hordijk and I found a lot of inspiration in Derman’s book (Finite state Markovian decision processes, Academic Press, New York, 1970 ). Since that time I was interested in linear programming methods for Markov decision processes. In this article I will describe some results in this area on the following topics: (1) MDPs with the average reward criterion; (2) additional constraints; (3) applications. These topics are the main elements of Derman’s book. Copyright The Author(s) 2013

Date: 2013
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DOI: 10.1007/s10479-011-1047-4

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