Accession Number : AD0737644

Title :   Constrained Markov Decision Chains.

Descriptive Note : Technical rept.,

Corporate Author : STANFORD UNIV CALIF DEPT OF OPERATIONS RESEARCH

Personal Author(s) : Derman,Cyrus ; Veinott,Arthur F. , Jr

Report Date : 22 OCT 1971

Pagination or Media Count : 8

Abstract : Consider a finite state and action discrete time parameter Markov decision chains. The objective is to provide an algorithm for finding a policy that minimizes the long run expected average cost when there are linear side conditions on the limit points of the expected state-action frequencies. This problem has been solved previously only for the case where every deterministic stationary policy has at most one ergodic class. The note removes that restriction by applying the Dantzig-Wolfe decomposition principle. (Author)

Descriptors :   (*LINEAR PROGRAMMING, STOCHASTIC PROCESSES), CONVEX SETS, INEQUALITIES, ALGORITHMS

Subject Categories : Operations Research

Distribution Statement : APPROVED FOR PUBLIC RELEASE