Accession Number : AD0664323

Title :   COMPUTING (G,W)-OPTIMAL POLICIES IN DISCRETE AND CONTINUOUS MARKOV PROGRAMS,

Corporate Author : RAND CORP SANTA MONICA CALIF

Personal Author(s) : Denardo,Eric V.

Report Date : JAN 1968

Pagination or Media Count : 30

Abstract : The study shows how to compute policies that maximize a certain reasonable criterion (i.e., policies that are (g,w)-optimal) for the undiscounted infinite-horizon versions of two Markov decision problems--one a discrete-time model and the other a continuous-time model. The approach used is to parse the overall problem into at most three smaller problems that can be solved in sequence by the methods of linear programming or policy iteration. (Author)

Descriptors :   (*STATISTICAL PROCESSES, DECISION THEORY), (*DECISION THEORY, OPTIMIZATION), LINEAR PROGRAMMING, MATHEMATICAL MODELS, OPERATIONS RESEARCH, TIME SERIES ANALYSIS, MATRICES(MATHEMATICS), DYNAMIC PROGRAMMING, ITERATIONS, STOCHASTIC PROCESSES, OPERATORS(MATHEMATICS), PROBABILITY, ALGORITHMS, FUNCTIONS(MATHEMATICS)

Subject Categories : Operations Research

Distribution Statement : APPROVED FOR PUBLIC RELEASE