Sensitivity analysis in discounted Markovian decision problems

DOI10.1007/BF01721353zbMath0565.90082OpenAlexW4246431765MaRDI QIDQ1058999

Rommert Dekker, Lodewijk C. M. Kallenberg, Arie Hordijk

Publication date: 1985

Published in: OR Spektrum (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01721353

zbMATH Keywords

sensitivity analysisdiscountingcomputation of optimal policiesBlackwell optimal policyfinite-state, finite-action discrete- time Markov decision model

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Linear programming (90C05) Markov and semi-Markov decision processes (90C40)

Related Items (7)

An efficient basis update for asymptotic linear programming ⋮ Survey of linear programming for standard and nonstandard Markovian control problems. Part I: Theory ⋮ Uniform Turnpike Theorems for Finite Markov Decision Processes ⋮ Algorithms for uniform optimal strategies in two-player zero-sum stochastic games with perfect information ⋮ Policy improvement for perfect information additive reward and additive transition stochastic games with discounted and average payoffs ⋮ Singularly perturbed linear programs and Markov decision processes ⋮ An asymptotic simplex method for singularly perturbed linear programs

Cites Work

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• Finite state Markovian decision processes
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• Constrained Undiscounted Stochastic Dynamic Programming
• Asymptotic Linear Programming
• Discrete Dynamic Programming
• Optimum Policy Regions for Markov Processes with Discounting
• Discrete Dynamic Programming with a Small Interest Rate

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