Sensitivity-analysis in discounted Markovian decision problems

A. Hordijk; R. Dekker; L. C.M. Kallenberg

doi:10.1007/BF01721353

Sensitivity-analysis in discounted Markovian decision problems

A. Hordijk^*, R. Dekker, L. C.M. Kallenberg

^*Corresponding author for this work

Econometrics

Research output: Contribution to journal › Article › Academic › peer-review

13 Citations (Scopus)

Abstract

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.

Original language	English
Pages (from-to)	143-151
Number of pages	9
Journal	OR Spektrum
Volume	7
Issue number	3
DOIs	https://doi.org/10.1007/BF01721353
Publication status	Published - Sep 1985

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abstract = "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.",

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year = "1985",

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Sensitivity-analysis in discounted Markovian decision problems

Abstract

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