Markov Limid processes for representing and solving renewal problems

Erik Jørgensen (), Anders Kristensen () and Dennis Nilsson

Annals of Operations Research, 2014, vol. 219, issue 1, 63-84

Abstract: In this paper a new tool for simultaneous optimisation of decisions on multiple time scales is presented. The tool combines the dynamic properties of Markov decision processes with the flexible and compact state space representation of LImited Memory Influence Diagrams ( Limids). A temporal version of Limids, TemLimids, is defined by adding time-related functions to utility nodes. As a result, expected discounted utility, as well as expected relative utility might be used as optimisation criteria in TemLimids. Optimisation proceeds as in ordinary Limids. A sequence of such TemLimids can be used to model a Markov Limid Process, where each TemLimid represents a macro action. Algorithms are presented to find optimal plans for a sequence of such macro actions. Use of algorithms is illustrated based on an extended version of an example from pig production originally used to introduce the Limid concept. Copyright Springer Science+Business Media, LLC 2014

Keywords: Markov decision process; MDP; Multilevel hierarchical Markov process; MLHMP; Limited Memory Influence Diagram; Limid; Pig production (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1007/s10479-012-1220-4

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