Accession Number : ADA215221

Title :   Successive Approximations for Finite Horizon, Semi-Markov Decision Processes with Application to Asset Liquidation.

Descriptive Note : Journal article,

Corporate Author : CALIFORNIA UNIV LOS ANGELES

Personal Author(s) : Mamer, John W.

Report Date : 1986

Pagination or Media Count : 7

Abstract : This paper presents a simple successive approximation approach to the characterization of optimal policies for finite horizon, semi-Markov decision processes. Optimal policies are nonstationary, for in this setting they depend on both time and state. We illustrate this approach by analyzing the optimal liquidation of an asset; we also show that several aspects of the standard, discrete-time, infinite horizon optimal policy carry over to the continuous-time, finite horizon policy. Reprints. (JHD)

Descriptors :   *DECISION THEORY, *MARKOV PROCESSES, APPROXIMATION(MATHEMATICS), OPTIMIZATION, POLICIES, REPRINTS.

Subject Categories : Operations Research
      Economics and Cost Analysis

Distribution Statement : APPROVED FOR PUBLIC RELEASE