Sensitivity analysis in discounted Markovian decison problems
This paper deals with a finite-state, finiteaction discrete-time Markov decision model. A linear programming procedure is developed for the computation of optimal policies over the entire range of the discount factor. Furthermore, a procedure is presented for the computation of a Blackwell optimal policy.
|Keywords||Markov Decision Chains, operations research|
|Persistent URL||dx.doi.org/10.1007/BF01721353, hdl.handle.net/1765/2248|
Hordijk, A., Dekker, R., & Kallenberg, L.C.M.. (1985). Sensitivity analysis in discounted Markovian decison problems. OR Spektrum, 7(3), 143–151. doi:10.1007/BF01721353